Forecasting exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach

The study examines the power of monetary fundamentals (interest rate and money supply growth) in forecasting daily exchange rate volatility in South Africa and Nigeria. The motivation is underscored by the relatively high level of exchange rate volatility of these two emerging economies and the need...

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Bibliographic Details

Published in:	Scientific African
Main Authors:	Patience Eyo Eniayewu, Gideon Tukura Samuel, Jeremiah Dandaura Joshua, Bazitei Tuapreghe Samuel, Bishara Saidu Dogo, Umar Yusuf, Rosemond Onyinye Ihekuna, Chioma Reacheal Mevweroso
Format:	Article
Language:	English
Published:	Elsevier 2024-03-01
Subjects:	C52 C53 E52 F31
Online Access:	http://www.sciencedirect.com/science/article/pii/S2468227624000462