Work

Exchange Rate Volatility in the Context of Domestic and Global Uncertainty: A GARCH-MIDAS Approach

Year: 2025

Type: article

Abstract: The GARCH-MIDAS model was utilized to evaluate the components of economic policy uncertainty (EPU) that exert the greatest influence on exchange rate volatility. The findings indicate that both global EPU and its domestic counterpart (NEPU) contribute to exchange rate fluctuations; however, NEPU demonstrates a significantly stronger effect than GEPU. Additionally, the analysis identifies NEPU as a more effective predictor of exchange rate volatility relative to GEPU.

Source: Asian Economics Letters

DOI: 10.46557/001c.144709

Authors: Patterson C. Ekeocha, Yusuf Yakubu, Kazeem O. Isah

Institution: Kogi State University

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W4415723002

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Cites: 11

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