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首页> 外文期刊>Journal of Mathematical Finance >Exponential GARCH Model with Exogenous Covariate for South Sudanese Pounds—USD Exchange Rate Volatility: On the Effects of Conflict on Volatility
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Exponential GARCH Model with Exogenous Covariate for South Sudanese Pounds—USD Exchange Rate Volatility: On the Effects of Conflict on Volatility

机译：南苏丹中南汇汇率波动率的外源协变量的指数加速模型：关于冲突对波动性的影响

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The empirical models that explain the variation in exchange rate on the ground of macroeconomic fundamentals only are usually bias on the account of omitted variable hence, they cannot decently explain variations in exchange rate. However, if socio-political determinants, like civil wars, violence are incorporated in simple time series specification, the variations of exchange rate can be understood better. Apparently in developing countries like South Sudan where socio-political problems like conflict are most prevalent, the subject remains largely under-explored. This paper therefore, applies ARMA ( p , q )-EGARCH ( p , q ) model with exogenous covariate for SSP-USD exchange rate volatility to examine the effect of conflict as an exogenous variable on exchange rate volatility. The proposed model is ARMA (1, 2)-EGARCH (1, 1) class of models with exogenous covariate in both mean and volatility equations. An empirical application of the proposed model is demonstrated by incorporating the conflict index as covariate in both mean and volatility equations of the proposed model. Parameter estimation was performed using maximum likelihood estimation method. The estimation results with classical maximum likelihood estimation method suggested that exchange rate volatility was persistent as evidenced by higher values of the coefficient of the parameter that accounts for persistence ( β ) in conditional volatility. Furthermore, the parameter for leverage effect in our models was found to be significant. The results showed that the effects of conflict on volatility of SSP-USD was found positive and statistically significant in both equations indicating that higher prevalence of conflict makes the exchange rate to be more volatile.
机译：解释越野基础知识基础上汇率变化的经验模型通常只会偏离省略的变量，因此不能解决汇率的变化。但是，如果社会政治决定因素，如内战，在简单的时间序列规范中纳入暴力，可以更好地理解汇率的变化。显然在南苏丹这样的发展中国家，在冲突这样的社会政治问题中最普遍，该主题仍然很大程度上遭到探索。因此，本文应用了ARMA（P，Q）-EGARCH（P，Q）模型与外源协变量进行SSP-USD汇率波动，以检查冲突作为汇率波动性的外源变量的影响。该拟议的模型是ARMA（1,2）-egarch（1,1）类的模型，其两种平均和波动率方程中的外源性协变量。通过将冲突指数纳入所提出的模型的平均值和波动率方程中的冲突指数来证明所提出的模型的实证应用。使用最大似然估计方法执行参数估计。具有经典最大似然估计方法的估计结果表明，汇率波动率持续，如在条件波动率的持久性（β）的参数系数的较高值所证明的那样。此外，发现我们模型中的杠杆效果的参数是显着的。结果表明，在两个方程式中发现SSP-USD的挥发性对挥发性挥发性的影响，表明冲突较高的普遍性使得汇率更加挥发。

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