This study evaluates the presence and
characteristics of the asymmetric effects and volatility clustering in Rwanda
currency market. Under GARCH types model, Value at Risk models are estimated by
assuming that the residuals follow normal, student t and skewed student t
distributions. Backtesting results for symmetric and asymmetric models have
been done based on Kupiec and Christoffersen test. The results from Backtesting
show that most accurate VaR estimate are obtained from asymmetry GARCH models
and provide evidence on the existence of the asymmetric effect in the Rwanda
currency market and the other currencies.
JEL classification numbers: C22, C49, C52, E44
currency market, GARCH, asymmetric effects, Value at Risk and Backtesting.