Abstract
A very significant input to monetary policymaking is estimating the current level of exchange rate. This paper examined the application of stochastic volatility of returns on the Ghana Cedis and US dollar ($) exchange rate. Stationarity of the dataset was achieved after differencing. Markov Chain Monte Carlo (MCMC) was used in the parameter estimation. A stochastic volatility (SV) was obtained with the level of log-variance = µ 10:8320, the persistence of log-variance- = 0:9285, and the volatility of log-variance = 0:660. Posterior density estimates, standardized residual plots as well as estimated volatilies were actualized.
A.Y. OMARI-SASU, REINDORF NARTEY BORKOR, ADU SAKYI, ISHMAEL JESSE NARH ADIKORLEY. (2018) Modeling GHS-USD Exchange Rate in Ghana: Application of Stochastic Volatility Model, International Review of Management and Business Research, Volume 7, Issue 2.
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