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Inventi Rapid - Microfinance & Banking

Articles

  • Inventi:mmb/22805/17
    AN ANALYSIS OF PREMIUM CURRENCIES VOLATILITY IN INDIA AND ITS APPLICATION IN STRATEGIC DECISION MAKING
    Vishweswar Sastry V N*, Aruna Rani N, Pundareeka Vittala K R

    The currency exchanges rates volatility is the most examined and analyzed economic measures. The recent political change and demonetization effects had seen the currency fluctuations in economy. A number of models are developed to get the accurate estimate volatility such as Conditional Heteroskedastic models. The objective of the paper was to apply the GARCH model for checking the volatility of the currency, secondly to test the volatility and validity of the model and finally to predict and forecast the future exchange rates. The methodology applied for the study was analytical and descriptive along with econometric tools like Correlogram for stationarity and GARCH for volatility. The EURO, YEN, POUND and DOLLAR are stationary at first order of integration and AIC and BIC information criteria is taken for currencies to forecast the future values.

    How to Cite this Article
    Vishweswar Sastry V N, Aruna Rani N, Pundareeka Vittala K R. An Analysis of Premium Currencies Volatility in India and its Application in Strategic Decision Making. Inventi Rapid: Microfinance & Banking, 2017(4):1-8, 2017.
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