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Volatility models and the multivariate links with applications to the economy of Mozambique
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Mozambique, like any other country, needs to know the behavior of the main macroeconomic
variables to make better decisions. This study aims to investigate the behavior
as well as the relationship between macroeconomic variables and financial
time series related to Mozambique. For the study, we use univariate Autoregressive
conditional heteroskedasticity models, Vector autoregressive models and multivariate
Generalized autoregressive conditional heteroskedasticity models. Overall, the
study concludes that: (i) Asymmetry of shocks, volatility and currency-specific behavior
affect economic performance, particularly in an open economy, influencing
international capital movement and goods and services transactions, (ii) Mozambique’s
real Gross domestic product plays an important role from cointegration
relationships, impulse response functions to forecast error variance decomposition.
(iii) The analysis of co-volatility showed the existence of relationships in volatility
between different markets which influences the systematic behavior presented by the
variables over time. These results contribute and reinforce the existing literature
in terms of the choice of the appropriate model, criteria and tests presented that
considerably affect the type of results. With this analysis of macroeconomic series
related to Mozambique’s economy, it somewhat helps the process of policy making
that increases Mozambique’s sustainable economic growth rate. In this thesis the
problem of the normality of the log-returns for stock prices is also addressed for
different formulations of price returns, namely intra-day and inter-day log-returns,
with and without data trimming and for a large set of companies stock prices.
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Exchange rate Goss domestic product Mozambique Multivariate time series Volatility