Impact of COVID-19 on Exchange rate volatility of Bangladesh: Evidence through GARCH model

Impact of COVID-19 on Exchange rate volatility of Bangladesh: Evidence through GARCH model

This study uses the GARCH (1,1) model to examine the impact of COVID-19 cases (log value) on the volatility of the Exchange rate return of Bangladeshi taka (BDT) over the US dollar (USD), Japanese Yen (JPY), and Swedish Krona (SEK). The result shows that an increase in the number of COVID-19-affecte...

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Veröffentlicht in:arXiv.org 2024-03
1. Verfasser: Rizwanul Karim
Format: Artikel
Sprache:eng
Schlagworte:
Autoregressive models
Volatility
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Beschreibung
Zusammenfassung:This study uses the GARCH (1,1) model to examine the impact of COVID-19 cases (log value) on the volatility of the Exchange rate return of Bangladeshi taka (BDT) over the US dollar (USD), Japanese Yen (JPY), and Swedish Krona (SEK). The result shows that an increase in the number of COVID-19-affected cases in Bangladesh has a significant and positive impact on the volatility of exchange rates BDT/USD, BDT/JPY, and BDT/SEK.
ISSN:2331-8422