Forecasting exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach
The study examines the power of monetary fundamentals (interest rate and money supply growth) in forecasting daily exchange rate volatility in South Africa and Nigeria. The motivation is underscored by the relatively high level of exchange rate volatility of these two emerging economies and the need...
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| Principais autores: | , , , , , , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Elsevier
2024-03-01
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| Colecção: | Scientific African |
| Assuntos: | |
| Acesso em linha: | http://www.sciencedirect.com/science/article/pii/S2468227624000462 |
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