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Forecasting Exchange Rate Volatility In India Under Univariate And Multivariate Analysis

This paper addresses the issue of variation in the exchange rate of the Indian Rupee (IR) against the US Dollar (USD) under a flexible exchange rate regime using monthly data spanning January 2005 to December 2020. We find that exchange rate volatility is largely affected by its lag value rather than the inflation rate and the interest rate differential. The results of forecast accuracy suggest that the prediction performance of the ARIMA model is better than the VAR model. We also find that apart from other factors, the sharp changes in the exchange rate should be controlled by the economy
because its effect will be reflected in the next period and thus creating a chain event to bring further instability in the exchange rate.

Ketersediaan
Call NumberLocationAvailable
PSB lt.2 - Karya Akhir (Majalah)1
Informasi Detail
Judul Seri
Bulletin Of Monetary Economics And Banking
No. Panggil
-
Penerbit
Jakarta : Bank Indonesia.,
Deskripsi Fisik
192 p.
Bahasa
English
ISBN/ISSN
2460-9196
Klasifikasi
NONE
Tipe Isi
text
Tipe Media
-
Tipe Pembawa
-
Edisi
Volume 26, Number 1, 2023
Subjek
Exchange rate
India
Multivariate
Univariate
Info Detail Spesifik
Bulletin Of Monetary Economics And Banking
Pernyataan Tanggungjawab
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Tidak tersedia versi lain

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