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The purpose of the study is to forecast the volatility for returns of the exchange rate of Pakistan concerning US dollars along with the impact of covid-19 so that we can find out the feasibility of holding this asset along with the risk and returns associated with it. For this purpose daily data has been taken from the State bank of Pakistan on a...
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... risk behaviour of the exchange rate return and volatility is estimated using the GARCH-M model, in which the conditional mean depends on its own conditional because of variance if the risk is captured by the volatility or by the conditional variance, and then the conditional variance may enter the conditional mean function of series (Engle, 1993). In Table 4 results of GARCH -M model depicts that there are two equations first, the mean equation which explains the average returns associated with exchange rate returns which is exhibits by coefficient of constant term C and in this model average returns of exchange rate are small but significant, whereas the R-LEXCH (-1) term exhibits how previous exchange rates influence the current exchange rate. While the impact of covid-19 is statistically significant at 5% confidence level. ...Similar publications
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