Exchange rate volatility spillovers and the South African currency

This paper examines the volatility spillovers between the South African currency and the currencies of selected markets in developed and emerging Europe as well as Asia and Latin America. Additionally, the exchange rate volatility spillovers are examined over one year window samples to determine the evolution of volatility spillovers between these currencies overtime. The empirical results show statistically significant negative exchange rate volatility spillover effects between the South African currency and the currencies in developed and emerging European markets, while no spillover effects can be established for the currencies in the Asian and Latin American markets.
Moreover, the one year window samples results confirm the hypothesis of changing exchange rate volatility spillovers across currency markets overtime.