Modeling India-US Exchange Rate Volatility Using GARCH Models

Select Karuna Chauhan; Select Surender Kumar; Select Puneet Dublish; Select Abhay Srivastava

doi:https://doi.org/10.69711/sharda.ijmir.v6i2.1701

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Modeling India-US Exchange Rate Volatility Using GARCH Models

Karuna Chauhan, Surender Kumar, Puneet Dublish, Abhay Srivastava

https://doi.org/10.69711/sharda.ijmir.v6i2.1701

Author Details ( * ) denotes Corresponding author

1. * Karuna Chauhan, Department of Economics, H.P.U. Shimla, Shimla, Himachal Pradesh, India (karunachauhan.3@gmail.com)

2. Surender Kumar, Jaipuria Institute of Management, Noida, Uttar Pradesh, India (surender.kumar@jaipuria.ac.in)

3. Puneet Dublish, Jaipuria Institute of Management, Noida, Uttar Pradesh, India (puneet.dublish@jaipuria.ac.in)

4. Abhay Srivastava, Jaipuria Institute of Management, Lucknow, Uttar Pradesh, India (abhay.srivastava@jaipuria.ac.in)

To understand the market expectations and uncertainty, study of foreign exchange volatility is very important. It is matter of interest to researchers as well as policy makers as it helps us to measure the impact on asset prices. In this work, we have examined the Indian exchange rate volatility against US dollar, using daily data for the period January 2010 to September 2015. Our modeling framework is based on the Generalized Autoregressive Conditional Heteroskedastic (GARCH) models. We have observed strong evidence of conditional shocks and their asymmetric and transitory impact on exchange rate volatility.

Keywords

Exchange Rate, ARCH, GARCH, Volatility, Asymmetric Effects

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