Volatility spillovers between the European and South African foreign exchange markets

This article investigates the exchange rate volatility spillover and dynamic conditional correlation between the euro and the South African rand following the Eurozone sovereign debt crisis. It employs two multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) models, namely...

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Bibliographic Details
Main Authors: Olivier Niyitegeka, Devi Datt Tewari
Format: Article
Published: Taylor & Francis Group 2020-01-01
Series:Cogent Economics & Finance
Online Access:http://dx.doi.org/10.1080/23322039.2020.1741308