Evaluating the volatility spillovers in the foreign exchange market during extreme events from 2007 to 2022 using the EGARCH model: Evidence from the ASEAN-5 countries

• Main Authors: Diaz, Helen L., Ignacio, Jan Peter T., Namol, Melanie Grace V., So, Abby Gail C.
• Format: text
• Language: English
• Published: Animo Repository 2023
• Subjects: Stock exchanges and current events—Southeast Asia; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etdb_finman/60; https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1059/viewcontent/Evaluating2_The_Volatility_Spillovers_In_The_Foreign_Exchange_Mark.pdf
• Institution: De La Salle University

This paper evaluated the volatility spillovers in the foreign exchange market of the ASEAN-5 countries, namely Indonesia, Malaysia, Philippines, Singapore, and Thailand, during extreme events such as the Global Financial Crisis, Post-Global Financial Crisis, COVID-19 Pandemic, and the 2022 US Inflat...