Advanced

Volatility Spillover in Exchange Rates between Asian Developed Economies and Emerging Economies

Ashraf, Fayeza LU (2016) NEKN01 20152
Department of Economics
Abstract
This study examines the interaction of exchange rates between the Asian developed economies: Japan and Singapore and emerging economies: China, India, Malaysia, Sri Lanka and Thailand over the period January 1, 2006 to December 31, 2014. The volatility spillover is modeled through a GARCH-BEKK model. Significant results are found for unidirectional spillover from Japan and Singapore to emerging economies. Further, it was deduced that economies are strongly affected by its own past shock and volatility.
Please use this url to cite or link to this publication:
author
Ashraf, Fayeza LU
supervisor
organization
course
NEKN01 20152
year
type
H1 - Master's Degree (One Year)
subject
keywords
Exchange rate, BEKK-GARCH model, volatility spillover
language
English
id
8626204
date added to LUP
2016-02-15 15:00:03
date last changed
2016-02-15 15:00:03
@misc{8626204,
  abstract     = {This study examines the interaction of exchange rates between the Asian developed economies: Japan and Singapore and emerging economies: China, India, Malaysia, Sri Lanka and Thailand over the period January 1, 2006 to December 31, 2014. The volatility spillover is modeled through a GARCH-BEKK model. Significant results are found for unidirectional spillover from Japan and Singapore to emerging economies. Further, it was deduced that economies are strongly affected by its own past shock and volatility.},
  author       = {Ashraf, Fayeza},
  keyword      = {Exchange rate,BEKK-GARCH model,volatility spillover},
  language     = {eng},
  note         = {Student Paper},
  title        = {Volatility Spillover in Exchange Rates between Asian Developed Economies and Emerging Economies},
  year         = {2016},
}