Real Effective Exchange Rate Volatility Series for West African Monetary Zone
Description
The dataset provides real effective exchange rate volatility series for West African Monetary Zone (WAMZ), which can be reused without restriction. The data ranges between 1980m3 and 2024m8. The data, therefore, has the potential to be reused for forecasting future real effective exchange rate volatility in WAMZ, and also for conducting empirical research relating to real effective exchange rate volatility and trade performance in the region.
Files
Steps to reproduce
The dataset was developed with the aid of Fractionally Integrated Generalized Autoregressive Conditional Heteroscedasticity (FIGARCH) model, the traditional Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, and the Integrated Generalized Autoregressive Conditional Heteroscedasticity (IGARCH) model after obtaining monthly real effective exchange rate series from the online database of the International Monetary Fund. The real effective exchange rate volatility dataset was developed, exclusively, with the aid of EViews 13 software and no code was required during data development, simplifying data replication.
Institutions
- Adeleke University
- Landmark University