Authors:

Anil Kumar Goyal, Vikram Singh, Ankita Hotwani

Abstract:

A flexible exchange rate is significant, and it shouldn't be misleadingly limited in light of the requirements of the economy. Despite of managing the trade relations in such an expertise manner, the country still falls in a great dilemma about how to increase the value of our currency with respect to dollar. Therefore, estimating volatility of these exchange rates in order to predict the uncertainty in the forex market becomes extremely important.

The data has been taken for the purpose of analysis of the two exchange rates, i.e., USD to INR and CNY to INR on the daily basis for a time duration ranging from 1^st January,2011 to 31^st July,2021, which counts for more than 10 years’ time period. In order to estimate the volatility and leverage effect GARCH and T-GARCH models have been applied for the accomplishment of the objective.

The results of the conclusion provide us with the gist that there has been significant impact of volatility on both the exchange rates. While estimating the asymmetric effect, it was found that there was no leverage effect on both the exchange rates.

However, the study would serve as an essential element for the policy makers in framing the macro-economic policies. It would provide an insight to the institutional and retail investors and the financial analyst.

Keywords:

Currency Exchange, Forex Market, Volatility, GARCH, Symmetric, Asymmetric, Forecasting

Vol & Issue:

VOL.14, ISSUE No.Special Issue 1, january 2022