Complexity of exchange rate movement, analysis and volatility forecasting models: a review Online publication date: Mon, 18-Oct-2021
by Alexander Amo Baffour; Kofi Nyarko Gyimah; Alexander Owiredu
International Journal of Monetary Economics and Finance (IJMEF), Vol. 14, No. 5, 2021
Abstract: For obvious development in literature, various researchers and experts have relied on their area of expertise in the field of financial econometric to prove a substantive performance of one model or the other for volatility forecasting and analysis. Subsequently, no single model seems to be adequately suitable for the analysis of exchange rate movement and volatility. However, this paper is opposed to the random walk beliefs model as compared to the core findings by other empirical studies reviewed. We conclude that every currency has the strength which is determined by economic fundamentals such as, but not limited to, inflation, interest rate, balance of payment, national reserves, and which affect the volatility of exchange rates with respect to time. The study provides a very insightful summary of the development in finance concerning the complexity of exchange rate movement and volatility analysis models and together suggest a potential path for prospective researchers.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Monetary Economics and Finance (IJMEF):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com
Our Blog 
Follow us on Twitter 
Visit us on Facebook