Forecasting the Volatility of Indian Forex Market: An Evidence from GARCH Model
- Title
- Forecasting the Volatility of Indian Forex Market: An Evidence from GARCH Model
- Creator
- Raja M.; Muthu Gopalakrishnan M.; Pachiyappan S.; Velmurugan
- Description
- Forecasting the volatility of forex market will create more trading opportunities to investors, despite of ups and downs in the forex market. The present study attempted to examine how the volatility in the exchange rate between Indian rupee and selected four foreign currencies, such as US dollar, euro, Japanese yen and British pound, can influence the market return. The data, used in the present study, covered the daily price observation of four foreign currencies, for a period of 5 years, from 2019-2023. The GARCH (1, 1) (generalized autoregressive conditional hetero skedasticity) was used for develop the model for foreign exchange (FX) rates volatility. Mean equation model confirmed that the series had attained stationary and previous price did influence the current price. It was also supported by co-efficient values in the variance equation. The co-efficient value, in the variance equation, was around one, which showed that the forex market was efficient. Further, it was validated that the volatility shocks in forex market were quite persistent. The active investors in the market may use this opportunity immediately. The policy maker may correct this deviation through timely intervention in the currency market. 2024, Iquz Galaxy Publisher. All rights reserved.
- Source
- International Research Journal of Multidisciplinary Scope, Vol-5, No. 3, pp. 955-968.
- Date
- 2024-01-01
- Publisher
- Iquz Galaxy Publisher
- Subject
- Currency Market; Exchange Rate; Forecasting; Forex Market; Volatility
- Coverage
- Raja M., Bharathidasan University, Tamil Nadu, Tiruchirappalli, India; Muthu Gopalakrishnan M., CHRIST University, Karnataka, Bangalore, India; Pachiyappan S., CHRIST University, Karnataka, Bangalore, India; Velmurugan, Dr. Ambedkar Law University, Tamilnadu, Chennai, India
- Rights
- All Open Access; Gold Open Access
- Relation
- ISSN: 2582631X
- Format
- Online
- Language
- English
- Type
- Article
Collection
Citation
Raja M.; Muthu Gopalakrishnan M.; Pachiyappan S.; Velmurugan, “Forecasting the Volatility of Indian Forex Market: An Evidence from GARCH Model,” CHRIST (Deemed To Be University) Institutional Repository, accessed April 28, 2025, https://archives.christuniversity.in/items/show/12983.