Foreign Exchange Rate Movement in Pakistan: An empirical study to find out currency mix and holding period
Keywords:
M-GARCH-DCC, CWT, Foreign exchange rates, optimal currencies pairAbstract
This study consists foreign exchange rate moment in Pakistan. Foreign exchanges rates of currencies (USD, EURO, AED, GBP, QAR, INR, CNY, MYR) were taken from January 2010 to December 2019. The data of currencies used in this study were taken on the daily bases from official websites of exchange rate. Two modern techniques M-GARCH-DCC, Continuous Wavelet Transforms (CWT) were used to find out the optimized currencies pair which has least holding period for investment decision. The result of this study shows that AED/GBP, AED/MYR, CNY/USD, GBP/MYR, INR/MYR, INR/USD are the currencies pairs having least holding period and optimized currencies pair for investment decision.
PURPOSE – The main purpose of this study is to find out the optimal currencies pair which has least holding period for the investment.
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