مجلة الباحث
Volume 17, Numéro 17, Pages 67-77

Measuring The Effect Of Exchange Rate Movements On Stock Market Returns Volatility: Garch Model

Authors : Abdelkadir Besseba .

Abstract

This paper aims to investigate the dynamic links between exchange rate fluctuations and stock market return volatility. For this purpose, we have employed a Generalized Autoregressive Conditional Heteroscedasticity model (GARCH model). Stock market returns sensitivities are found to be stronger for exchange rates, implying that exchange rate change plays an important role in determining the dynamics of the stock market returns.

Keywords

Returns Volatility, Exchange Rate Fluctuations, GARCH Model.