Foreign exchange volatility modeling of Southeast Asian major economies

Regi Muzio Ponziani


This study investigates the exchange rate volatility model in Southeast Asian countries. The countries selected were Indonesia, Malaysia, Thailand, The Philippines, Vietnam, and Singapore. This study aims to model the volatility of the regional currency exchange rate against the international currency, i.e., the US Dollar. The period covered in this study extended from 1 January 2013 until 31 July 2019. These were the daily exchange rates of 7 currencies of Southeast Asian countries. The currency involved were Indonesian Rupiah (IDR), Malaysian Ringgit (MYR), Thai Baht (THB), The Philippine Peso (PHP), Vietnam Dong (VND), and Singaporean Dollar (SGD). All currencies were measured in the exchange rate against the US Dollar (USD). The result indicated that PARCH model is the best method to explain the movement of MYR, VND, and SGD. GARCH can model THB and PHP. Only IDR that has volatility explainable by TARCH.


Exchange Rate volatility, ARCH, GARCH, Econometric Modelling, Time-Series

Full Text:



Abdullah, S, Siddiqua, S, Siddiquee, MSH, & Hossain, N 2017, 'Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models: a comparison based on normal and Student’s t-error distribution', Financial Innovation, vol. 3, no. 1, pp. 1-19.

Adeoye, BW & Saibu, OM 2014, 'Monetary policy shocks and exchange rate volatility in Nigeria', Asian Economic and Financial Review, vol. 4, no. 4, pp. 544-562.

Aristotelous, K 2001, 'Exchange-rate volatility, exchange-rate regime, and trade volume: evidence from the UK–US export function (1889–1999)', Economics Letters, vol. 72, no. 1, pp. 87-94.

Audzei, V & Brázdik, F 2015, 'Monetary Policy and Exchange Rate Dynamics: The Exchange Rate as a Shock Absorber', Czech Journal of Economics and Finance (Finance a uver), vol. 65, no. 5, pp. 391-410.

Bošnjak, M, Bilas, V, & Novak, I 2016, 'Modeling exchange rate volatilities in Croatia', Ekonomski vjesnik/Econviews-Review of Contemporary Business, Entrepreneurship and Economic Issues, vol. 29, no. 1, pp. 81-94.

Cheong, C, Mehari, T, & Williams, LV 2005, 'The effects of exchange rate volatility on price competitiveness and trade volumes in the uk: A disaggregated approach', Journal of Policy Modeling, vol. 27, no. 8, pp. 961-970.

Cieleback, M 1998, 'The economic and currency crisis in South-East Asia', Intereconomics, vol. 33, no. 5, pp. 223-229.

Dritsaki, C 2019, 'Modeling the Volatility of Exchange Rate Currency using GARCH Model', Economia Internazionale/International Economics, vol. 72, no. 2, pp. 209-230.

Emenike, KO 2018, 'Exchange rate volatility in West African countries: is there a shred of Spillover?', International Journal of Emerging Markets, vol. 13, no. 6, pp. 1457-1474.

Epaphra, M 2016, 'Modeling exchange rate volatility: Application of the GARCH and EGARCH models', Journal of Mathematical Finance, vol. 7, no. 1, pp. 121-143.

Fida, BA, Khan, MM, & Sohail, MK 2012, 'Analysis of exchange rate fluctuations and external debt: empirical evidence from Pakistan', African Journal of Business Management, vol. 6, no. 4, pp. 1760-1768.

Hayakawa, K & Kimura, F 2009, 'The effect of exchange rate volatility on international trade in East Asia', Journal of the Japanese and International Economies, vol. 23, no. 4, pp. 395-406.

Kim, CB 2017, 'Does exchange rate volatility affect Korea's seaborne import volume?', The Asian Journal of Shipping and Logistics, vol. 33, no. 1, pp. 43-50.

Krušković, BD 2017, 'Exchange Rate and Interest Rate in the Monetary Policy Reaction Function', Journal of Central Banking Theory and Practice, vol. 6, no. 1, pp. 55-86.

Kumar, A, Bhutto, NA, Mangrio, KA, & Kalhoro, MR 2019, 'Impact of external debt and exchange rate volatility on domestic consumption. New evidence from Pakistan', Cogent Economics & Finance, vol. 7, no. 1, pp. 1568656.

May, C & Farrell, G 2018, 'Modelling exchange rate volatility dynamics: Empirical evidence from South Africa', Studies in Economics and Econometrics, vol. 42, no. 3, pp. 71-113.

Meniago, C & Eita, JH 2017, 'Does Exchange Rate Volatility Deter Trade in Sub-Saharan Africa?', International Journal of Economics and Financial Issues, vol. 7, no. 4, pp. 62-69.

Mongid, A 2006, 'The economic convergence in ASEAN and prospects for a monetary union', Philippine Review of Economics, vol. 43, no. 1, pp. 205-219.

Petrica, A-C & Stancu, S 2017, 'Empirical Results of Modeling EUR/RON Exchange Rate using ARCH, GARCH, EGARCH, TARCH and PARCH models', Romanian Statistical Review, vol., no. 1, pp. 57-72.

Pilbeam, K & Langeland, KN 2015, 'Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts', International Economics and Economic Policy, vol. 12, no. 1, pp. 127-142.

Preepremmote, P, Santipolvut, S, & Puttitanun, T 2018, 'Economic Integration in the ASEAN and Its Effect on Empirical Economic Growth', Journal of Applied Economic Sciences, vol. 13, no. 4, pp. 395-406.

Ramzan, S, Ramzan, S, & Zahid, FM 2012, 'Modeling and forecasting exchange rate dynamics in Pakistan using ARCH family of models', Electronic Journal of Applied Statistical Analysis, vol. 5, no. 1, pp. 15-29.

Senadza, B & Diaba, DD 2017, 'Effect of exchange rate volatility on trade in Sub-Saharan Africa', Journal of African Trade, vol. 4, no. 1-2, pp. 20-36.



  • There are currently no refbacks.

Copyright (c) 2019 Journal of Economics, Business, & Accountancy Ventura

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.

The 6th International Conference on Business and Banking (ICBB) VI

Abstracting & Indexing



Hasil gambar untuk ccbyncsa

Copyright @ 2010 Pusat Penelitian dan Pengabdian Masyarakat Sekolah Tinggi Ilmu Ekonomi (PPPM STIE)