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The Economics and Finance Letters

December 2021, Volume 8, 2, pp 213-230

An Analyses of Exchange Rate Volatility: A Case of SANE Countries

Nzeh, Innocent Chile


Akaolisa, Chidiogo Jane


Millicent Adanne Eze


Bartholomew.O.N. Okaf


Abubakar Yusuf

Nzeh, Innocent Chile 1

Akaolisa, Chidiogo Jane 2
Millicent Adanne Eze 3
Bartholomew.O.N. Okaf 4
Abubakar Yusuf 5

  1. Department of Economics, Renaissance University Ugbawka, Enugu State, Nigeria. 1

  2. Department of Economics, Nnamdi Azikiwe University, Awka, Anambra State, Nigeria. 2

  3. School of Business, Law and Social Sciences, Abertay University, Dundee, United Kingdom. 3

  4. Department of Economics, Nile University of Nigeria, Nigeria. 4

  5. National Metallurgical Development Centre (NMDC) Jos, Plateau State, Nigeria. 5

Pages: 213-230

DOI: 10.18488/journal.29.2021.82.213.230

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Article History:

Received: 22 February, 2021
Revised: 02 April, 2021
Accepted: 05 May, 2021
Published: 07 June, 2021


The sensitivity of exchange rate to an economy has made the study of its volatility essential and that motivated this study in SANE countries. Using GARCH models under different error distributions and monthly data spanning a period of 2016-2020, findings of our study show that exchange rate is volatile in each of the countries sampled. We also found that while some models in each country exhibit mean reversion, others show none mean reversion. The asymmetric parameters of the models show that exchange rate volatility in SANE countries exhibits both positive and negative shocks. Finally, our findings show that other error distributions perform better than the traditional Normal distribution. We therefore recommend that monetary authorities in each of the SANE countries should fine tune their policies on exchange rate to ensure stable and realistic exchange rate regimes which do not hurt the macroeconomic environment. We also suggest that in modelling exchange rate volatility, each country should explore several error distributions so as to avoid biased outcomes.
Contribution/ Originality
This study contributes to the existing literature by analyzing exchange rate volatility in SANE countries. Evaluating different error distributions in order to assist in a proper modeling of exchange rate in each of the countries is another area we have contributed to literature. We affirm the authenticity and originality of the paper.


GARCH models, SANE countries, Exchange rate volatility , Leverage effect , Mean reverting, Error distribution.


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This study received no specific financial support.

Competing Interests:

The authors declare that they have no competing interests.


All authors contributed equally to the conception and design of the study.

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