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The map of Africa showing the eight countries: Nigeria, Ghana, South Africa, Algeria, Morocco, Kenya, Ethiopia, and Angola
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Research on the exchange rate volatility and dynamic conditional correlation of African currencies/financial markets interdependence appears to be limited. In this paper, we employ GARCH models to characterize the exchange rate volatility of eight major African currencies. The variation of interdependence with respect to time is described using the...
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The exchange rate risk caused by the two-way fluctuation of the RMB exchange rate will bring many effects. The volatility of the foreign exchange market is the most common feature of the financial market. Therefore, the research on the volatility of the RMB exchange rate is of great significance in economic and financial aspects. Through statistica...
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... An appropriate distribution model must be assumed for this risk measurement to function optimally. Considering that stock price volatility has several economic implications, it is important to measure the investment risk in the stock market accurately (Afuecheta et al., 2022). The application of the expected shortfall method to measure stock price risk has been carried out by (Lina, 2022;Rizani et al., 2019;Utami et al., 2023) because this method can calculate risk for both normally and non-normally distributed data, accurately reflecting the diversification effect to minimize risk. ...
PT Aneka Tambang Tbk (ANTAM) received an award as the most sought-after stock issuer in Indonesia in 2016. That stock continued to attract investors in 2022 due to a 105% increase in net profit and a 19% increase in sales from the previous year. Despite the upward trend, investors still had doubts due to the fluctuating movement of ANTAM's stock prices. Therefore, forecasting was needed to determine the future movement of stock prices. The Backpropagation Neural Network method had good capabilities for fluctuating data types. However, this method has the disadvantage of a lengthy iteration process. To handle this limitation, The Nguyen-Widrow weighted setting was applied to address this constraint. The expected Shortfall (ES) method used the forecasting results to measure investment risk. This research uses ANTAM stock closing price data from May 2, 2018, to May 31, 2023. Based on the analysis results, the best architecture was obtained with a configuration of 5-11-1, using Nguyen-Widrow weight initialization and a combination of a learning rate of 0.5 and momentum of 0.9. This architecture yielded a prediction error based on the Mean Absolute Percentage Error (MAPE) of 1.9947%. Risk measurement with the ES method based on the prediction for the next 60 periods showed that at a 95% confidence level, the risk value was 0.002181; at a 90% confidence level, it was 0.002165; at an 85% confidence level, it was 0.002148, and at an 80% confidence level, it was 0.002132.
The horticultural sector in Kenya plays a crucial role in driving the country’s economy, making up approximately 1.6% of the country’s GDP in 2019. Despite generating a significant Ksh152.3 billion in 2022, the value of these exports exhibited a decline compared to Ksh157.7 billion in 2021. These decreases in horticultural exports performance warrant further investigation into the underlying factors impacting this important sector. This study examines the role of government effectiveness in the relationship between different macroeconomic factors and Kenya’s horticultural exports performance using time series data from 1990 to 2021. The study’s key findings highlight the significant influence of government effectiveness on the relationship between exchange rates, inflation rates, interest rates, and horticultural export performance. This implies that well-designed government policies have the potential to enhance the positive impacts of these macroeconomic factors. The findings highlight the crucial role of government effectiveness in shaping the impact of macroeconomic factors on Kenya’s horticultural export performance. Considering these findings, the study provides a few policy recommendations. Investments in strengthening government institutions and policies can amplify the benefits of favourable exchange rates, controlled inflation, and stable interest rates on horticultural exports. Additionally, taking steps to enhance market access, decrease trade barriers, and negotiate more favourable trade agreements can amplify the advantages of favourable terms of trade for horticultural exports. Lastly, it is important to consider policies that can help address the negative effects of unfavourable terms of trade. This includes strategies like export diversification and risk management, which can be particularly effective with strong government backing.
