Multivariate Analysis of East African Currency Exchange Rate Dynamics

摘要

The main aim of this paper is to investigate the conditional correlations between daily returns of 6 currencies of East African countries relative to the US dollar. We fitted the CCC-GARCH, DCC-GARCH and ADCC-GARCH models on the daily returns conditional covariance matrix. The findings of this paper provide evidence that the correlation parameters between the pair of exchange rate returns are significant. This shows that the conditional correlations among the six East African countries exchange rate returns change with time. Lastly, this paper provides insight into the nature of correlation among East African currency exchange rates over the sample period.