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An investigation into the exchange rate volatility of Malaysia: assessing asymmetry and persistency

This study attempts to examine the asymmetry and persistency of exchange rate volatility of Malaysian Ringgit against U.S. dollar, British pound, Euro, Japanese yen, and Singapore dollar within the framework of asymmetric component GARCH models using daily data over the period of 1 August, 2005 to 2...

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Main Author: Fardous, Alom
Format: Conference or Workshop Item
Language:English
English
Published: 2014
Subjects:
HA Statistics
HB131 Methodology.Mathematical economics. Quantitative methods
Online Access:http://irep.iium.edu.my/38898/1/Abstract_for_TEA_conference.docx
http://irep.iium.edu.my/38898/2/TEA_Conference_presented.pdf
http://irep.iium.edu.my/38898/
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spelling my.iium.irep.388982015-02-12T04:59:19Z http://irep.iium.edu.my/38898/ An investigation into the exchange rate volatility of Malaysia: assessing asymmetry and persistency Fardous, Alom HA Statistics HB131 Methodology.Mathematical economics. Quantitative methods This study attempts to examine the asymmetry and persistency of exchange rate volatility of Malaysian Ringgit against U.S. dollar, British pound, Euro, Japanese yen, and Singapore dollar within the framework of asymmetric component GARCH models using daily data over the period of 1 August, 2005 to 24 April, 2014. The empirical findings reveal mixed evidence vis-à-vis asymmetry and persistency of exchange rate shocks to the volatility of Malaysian currency against different currencies considered in the study. The estimated results exhibit that the volatility of Malaysia’s exchange rate returns can be modelled with GARCH-type conditional variance models where models capture volatility characteristics well. The shocks of volatility to the Malaysia’s exchange rate are found to be highly persistent against USD while those are found to be reasonably persistent against Euro, British pound, Singapore dollar and Japanese yen. Asymmetric effects of shocks to the volatility of Malaysia’s exchange rate against USD, Euro and Japanese yen is evidenced implying positive and negative shocks pose different effects to rise or fall of the volatility while symmetric effect of shocks to the volatility is recorded for British Pound and Singapore dollar. The empirical findings of this study provide insights to the policymakers and practitioners. 2014 Conference or Workshop Item REM application/pdf en http://irep.iium.edu.my/38898/1/Abstract_for_TEA_conference.docx application/pdf en http://irep.iium.edu.my/38898/2/TEA_Conference_presented.pdf Fardous, Alom (2014) An investigation into the exchange rate volatility of Malaysia: assessing asymmetry and persistency. In: 4. International Conference on Economics, Business Innovation (ICEBI 2012), 18th - 20 Sept 2014, Antalya, Turkey. (Unpublished)
institution Universiti Islam Antarabangsa Malaysia
building IIUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider International Islamic University Malaysia
content_source IIUM Repository (IREP)
url_provider http://irep.iium.edu.my/
language English
English
topic HA Statistics
HB131 Methodology.Mathematical economics. Quantitative methods
spellingShingle HA Statistics
HB131 Methodology.Mathematical economics. Quantitative methods
Fardous, Alom
An investigation into the exchange rate volatility of Malaysia: assessing asymmetry and persistency
description This study attempts to examine the asymmetry and persistency of exchange rate volatility of Malaysian Ringgit against U.S. dollar, British pound, Euro, Japanese yen, and Singapore dollar within the framework of asymmetric component GARCH models using daily data over the period of 1 August, 2005 to 24 April, 2014. The empirical findings reveal mixed evidence vis-à-vis asymmetry and persistency of exchange rate shocks to the volatility of Malaysian currency against different currencies considered in the study. The estimated results exhibit that the volatility of Malaysia’s exchange rate returns can be modelled with GARCH-type conditional variance models where models capture volatility characteristics well. The shocks of volatility to the Malaysia’s exchange rate are found to be highly persistent against USD while those are found to be reasonably persistent against Euro, British pound, Singapore dollar and Japanese yen. Asymmetric effects of shocks to the volatility of Malaysia’s exchange rate against USD, Euro and Japanese yen is evidenced implying positive and negative shocks pose different effects to rise or fall of the volatility while symmetric effect of shocks to the volatility is recorded for British Pound and Singapore dollar. The empirical findings of this study provide insights to the policymakers and practitioners.
format Conference or Workshop Item
author Fardous, Alom
author_facet Fardous, Alom
author_sort Fardous, Alom
title An investigation into the exchange rate volatility of Malaysia: assessing asymmetry and persistency
title_short An investigation into the exchange rate volatility of Malaysia: assessing asymmetry and persistency
title_full An investigation into the exchange rate volatility of Malaysia: assessing asymmetry and persistency
title_fullStr An investigation into the exchange rate volatility of Malaysia: assessing asymmetry and persistency
title_full_unstemmed An investigation into the exchange rate volatility of Malaysia: assessing asymmetry and persistency
title_sort investigation into the exchange rate volatility of malaysia: assessing asymmetry and persistency
publishDate 2014
url http://irep.iium.edu.my/38898/1/Abstract_for_TEA_conference.docx
http://irep.iium.edu.my/38898/2/TEA_Conference_presented.pdf
http://irep.iium.edu.my/38898/
_version_ 1643611521003028480
score 13.211869

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