Estimation of daily exchange rate volatility: a comparative study of Indian currency with top tradable currencies of the world

Nischith, S. and Mahesh, R. (2015) Estimation of daily exchange rate volatility: a comparative study of Indian currency with top tradable currencies of the world. International Journal of Research in Computer Application and Management, V (IX). p. 17.

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Abstract

The increasing volatility of exchange rates after the fall of Britton Woods�s agreements has been a constant source of concern for trade for every nation. Since the adoption of a floating exchange-rate regime in 1973, the effects of exchange-rate volatility on the volume of international trade have been the subjects of both theoretical and empirical investigations. Since international trade is the main focus of concern to rate anything including the determination of currency value and other macro-economic variables. The demand and supply of international currencies depend on the process international trade will fix the rate of currency and every day it will differs. The fluctuation of exchange rate volatility which is incurred by this result not only exerts pressure on trade but also in charting the policy and safeguards the currency values. Since Indian currency has been in constant depreciation and also devalued two times has opened the face of concern for study. Hence this paper highlighted the worth of the currency in respect of fluctuation in one year period of time with that of other top tradable currencies of the world. In this paper the volatility has been measured by taking the top tradable currencies of the world with that of the Indian currency. GARCH model is used with the help of Excel and daily rates have been taken to evaluate and long run volatility measures have been evaluated by GARCH method.

Item Type: Article
Uncontrolled Keywords: Exchange Rate Volatility and Top Tradable Currencies and Long Run Varience
Subjects: G Commerce > Management Science
Divisions: Department of > Management
Depositing User: Shrirekha N
Date Deposited: 26 Jun 2019 10:47
Last Modified: 26 Jun 2019 10:47
URI: http://eprints.uni-mysore.ac.in/id/eprint/3897

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