دانلود مقاله ISI انگلیسی شماره 93659
ترجمه فارسی عنوان مقاله

شواهد پویایی پرش دائمی اختیاری زمان در بازارهای ارز خارجی آفریقای جنوبی

عنوان انگلیسی
Evidence of time-varying conditional discrete jump dynamics in sub-Saharan African foreign exchange markets
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
93659 2018 44 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Research in International Business and Finance, Available online 5 March 2018

پیش نمایش مقاله
پیش نمایش مقاله  شواهد پویایی پرش دائمی اختیاری زمان در بازارهای ارز خارجی آفریقای جنوبی

چکیده انگلیسی

An Autoregressive Jump Intensity-GJRGARCH model is used to examine the time-varying conditional discrete jump dynamics in the foreign exchange markets of Ghana, Kenya, Nigeria and South Africa. The findings suggest that conditional discrete jump is time-varying, and time-varying conditional discrete jump is sensitive to past shocks for all the four countries’ foreign exchange markets. Time-varying conditional discrete jump sensitivity is persistent in all the four markets, and all four markets exhibit asymmetric time-varying conditional discrete jump volatility. We also find that all the foreign exchange markets exhibit asymmetry in volatility, the so-called leverage effects. The findings shed some light on the volatility in these markets which are very relevant for hedging, portfolio allocation, pricing of currency derivatives and forecasting.