The emergence of the BRICS (Brazil, Russia, India, China and South Africa) grouping and the rapid advancement of their stock market may results in the acceleration of the appreciation of their respective currencies and ultimately the loss of their trade competitiveness. Conversely, exchange rate...

The standard vector error correction (VEC) model assumes the iid normal distribution of disturbance term in the model. This paper extends this assumption to include GARCH process. We call this model as VEC-GARCH model. However as the number of parameters in a VEC-GARCH model is large, the...