The Arab Monetary Fund released a study on: “An Analysis of Symmetric and Asymmetric Information in the Volatility Structure of Real Exchange Rates”
As a result of the symmetric analysis, the findings indicate that volatility structures of the real exchange rate markets' return under study are symmetrically informative.
An understanding of the volatility structure of foreign exchange rates is fundamental to assessing investment risks in the forex market. This study, therefore, analyzes the symmetric and asymmetric information in the volatility structure of selected Arab exchange rate markets.
The study applied the EGARCH model for analyzing the volatility structure of selected currencies using the daily data of rate of return of real exchange rates over the period from January 3, 2017, to June 2, 2022. These currencies are the Saudi Riyal, Kuwait Dinar, Bahrain Dinar, Egyptian Pound, Algerian Dinar, Tunisian Dinar, and Moroccan Dirham.