Affiliation:
1. School of Economics, Sukhothai Thammathirat Open University 9/9 Moo 9, Bang Phut Subdistrict, Pak Kret District, Nonthaburi 11120 THAILAND
Abstract
This study investigates the volatility of exchange rates in nine selected ASEAN member countries, using five forms of the GARCH model. Daily data was sourced from the Bank of Thailand website database, as Baht per foreign currency, over the period from October 2, 2018 to October 7, 2022. This data included Malaysia Ringgit, Singapore Dollar, Brunei Darussalam Dollar, Philippines Peso, Indonesia Rupiah, Myanmar Kyat, Cambodia Riel, Laos Kip, and Vietnam Dong. According to the findings of this study, only eight of the exchange rates were suitable for analysis. In addition, the GARCH ( 1,1) , TGARCH ( 1,1) , and PGARCH ( 1,1) models were determined to be the most applicable, and leverage effects were observed in certain exchange rates. To mitigate the risk associated with trade and investment activities, investors should closely monitor news that is likely to affect the value of exchange rates. In order to design actions that promote exchange rate stability, government agents, on the other hand, must ensure they are current on such news.
Publisher
World Scientific and Engineering Academy and Society (WSEAS)
Reference24 articles.
1. L. Kantar, “ ARCH Models and an Application on Exchange Rate Volatility: ARCH and GARCH Models,” in Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics, Springer, 2021, pp. 287–300.
2. M. A. Rehman and D. A. Salamat, “Modeling exchange rate volatility with GARCH models: A comparison based on a volatility breaks,” Asian Finance Research Journal, vol. 3, no. 1, pp. 1–15, 2021.
3. I. Sangaré, “Exchange Rate Regimes in the ASEAN: Would a Currency Union Outperform the Independent Managed Floating Regimes?,” Journal of Economic Integration, vol. 36, no. 1, pp. 72–102, Mar. 2021, doi: 10.11130/jei.2021.36.1.72.
4. D. T. Hurley and R. A. Santos, “Exchange rate volatility and the role of regional currency linkages: the ASEAN case,” Applied Economics, vol. 33, no. 15, pp. 1991–1999, Dec. 2001, doi: 10.1080/00036840010023779.
5. D. B. Ewubare and C. D. Merenini, “ The effect of exchange rate fluctuation on foreign trade in Nigeria,” International Journal of Scientific Research and Engineering Development, vol. 2, no. 1, pp. 68–85, 2019.