Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis

Research on the exchange rate volatility and dynamic conditional correlation of African currencies/financial markets interdependence appears to be limited. In this paper, we employ GARCH models to characterize the exchange rate volatility of eight major African currencies. The variation of interdepe...

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Detalles Bibliográficos
Autores principales: Afuecheta, Emmanuel, Okorie, Idika E., Nadarajah, Saralees, Nzeribe, Geraldine E.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9630077/
https://www.ncbi.nlm.nih.gov/pubmed/36345292
http://dx.doi.org/10.1007/s10614-022-10340-9

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9630077/
https://www.ncbi.nlm.nih.gov/pubmed/36345292
http://dx.doi.org/10.1007/s10614-022-10340-9

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