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Applied Economics Letters Volume 16, 2009 - Issue 8
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Original Articles

Modelling Fiji–US exchange rate volatility

Paresh Kumar Narayan School of Accounting, Economics and Finance, Faculty of Business and Law, Deakin University, Correspondence[email protected]
,
Seema Narayan School of Economics, Finance and Marketing, Royal Melbourne Institute of Technology, Melbourne, Australia
&
Arti Prasad Department of Economics, Faculty of Business and Economics, Monash University, Melbourne, Australia
Pages 831-834 | Published online: 08 May 2009
 
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Abstract

In this article, we examine the Fiji–US exchange rate volatility using daily data for the period 2000 to 2006. Our modelling framework is based on the EGARCH model. We find robust evidence of conditional shocks having a positive effect on exchange rate volatility, shocks having asymmetric effects on exchange rate volatility and shocks having a transitory effect on exchange rate volatility.

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