Energy market uncertainties and exchange rate volatility : a GARCH-MIDAS approach

dc.contributor.authorSalisu, Afees A.
dc.contributor.authorOgbonna, Ahamuefula E.
dc.contributor.authorGupta, Rangan
dc.contributor.authorJi, Qiang
dc.date.accessioned2024-08-20T09:53:20Z
dc.date.issued2024-09
dc.descriptionDATA AVAILABILITY : Data will be made available on request.en_US
dc.description.abstractIn this paper, we employ the generalized autoregressive conditional heteroscedasticity-mixed data sampling (GARCH-MIDAS) framework to forecast the daily volatility of 19 dollar-based exchange rate returns based on monthly metrics of oil price uncertainty (OPU), and relatively broader global and country-specific energy market-related uncertainty indexes (EUI). We find that the global EUIs tend to perform better than the OPU, highlighting the need to look beyond the oil market to capture energy related uncertainties. The country-specific EUIs outperform the benchmark in a statistically significant manner for at least 14 currencies across the short-, medium-, and long-term forecasting horizons.en_US
dc.description.departmentEconomicsen_US
dc.description.embargo2025-07-26
dc.description.librarianhj2024en_US
dc.description.sdgSDG-08:Decent work and economic growthen_US
dc.description.sponsorshipThe National Social Science Fund of China.en_US
dc.description.urihttp://www.elsevier.com/locate/frlen_US
dc.identifier.citationSalisu, A.A., Ogbonna, A.E., Gupta, R. et al. 2024, 'Energy market uncertainties and exchange rate volatility: a GARCH-MIDAS approach', Finance Research Letters, vol. 67, art. 105847, pp. 1-7, doi : 10.1016/j.frl.2024.105847.en_US
dc.identifier.issn1544-6123 (print)
dc.identifier.issn1544-6131 (online)
dc.identifier.other10.1016/j.frl.2024.105847
dc.identifier.urihttp://hdl.handle.net/2263/97739
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.rights© 2024 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Finance Research Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Finance Research Letters, vol. 67, art. 105847, pp. 1-7, doi : 10.1016/j.frl.2024.105847.en_US
dc.subjectGeneralized autoregressive conditional heteroskedasticity (GARCH)en_US
dc.subjectMixed data sampling (MIDAS)en_US
dc.subjectOil price uncertainty (OPU)en_US
dc.subjectMonthly oil priceen_US
dc.subjectEnergy market uncertaintyen_US
dc.subjectDaily exchange rate returns volatilityen_US
dc.subjectGARCH-MIDASen_US
dc.subjectForecastingen_US
dc.subjectSDG-08: Decent work and economic growthen_US
dc.titleEnergy market uncertainties and exchange rate volatility : a GARCH-MIDAS approachen_US
dc.typePostprint Articleen_US

Files

License bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Research Articles (Economics)
Research Articles (University of Pretoria)
Simple item page