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/ http://irep.iium.edu.my/38898/1/Abstract_for_TEA_conference.docx http://irep.iium.edu.my/38898/2/TEA_Conference_presented.pdf

id	iium-38898
recordtype	eprints
spelling	iium-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 PeerReviewed 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)
repository_type	Digital Repository
institution_category	Local University
institution	International Islamic University Malaysia
building	IIUM Repository
collection	Online Access
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/ http://irep.iium.edu.my/38898/1/Abstract_for_TEA_conference.docx http://irep.iium.edu.my/38898/2/TEA_Conference_presented.pdf
first_indexed	2023-09-18T20:55:53Z
last_indexed	2023-09-18T20:55:53Z
_version_	1777410300780216320

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

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