Rwanda Currency Market Risk Analysis: Evidence From Asymmetry Effects

摘要

This study evaluates the presence andcharacteristics of the asymmetric effects and volatility clustering in Rwandacurrency market. Under GARCH types model, Value at Risk models are estimated byassuming that the residuals follow normal, student t and skewed student tdistributions. Backtesting results for symmetric and asymmetric models havebeen done based on Kupiec and Christoffersen test. The results from Backtestingshow that most accurate VaR estimate are obtained from asymmetry GARCH modelsand provide evidence on the existence of the asymmetric effect in the Rwandacurrency market and the other currencies.