BRICS Currency Price Efficiency Using GARCH and ARFIMA

Author(s)	Dr. Vethamuthu Richard Paul, Mr. S Mohamed Uwais
Country	India
Abstract	This study investigates the price efficiency of BRICS currency markets Brazil, Russia, China, and South Africa against the US Dollar using daily exchange rate data from January 2015 to December 2024. The analysis employs econometric tools such as unit root tests, Variance Ratio, ARCH-LM, GARCH, and ARFIMA models to examine weak-form efficiency and volatility dynamics. The findings reveal that while Brazil and Russia exhibit characteristics of weak-form efficiency, China and South Africa display mean-reverting tendencies, suggesting deviations from market efficiency. GARCH results indicate persistent volatility in China and South Africa, whereas ARFIMA outcomes show no evidence of long-term memory in returns. Overall, the results highlight mixed efficiency and volatility behaviours across BRICS economies, influenced by differing macroeconomic conditions and policy frameworks. These insights contribute to understanding exchange rate dynamics in emerging markets and provide implications for investors and policymakers managing currency risk.
Keywords	Price efficiency, Market efficiency, Volatility, GARCH
Field	Mathematics > Economy / Commerce
Published In	Volume 16, Issue 4, October-December 2025
Published On	2025-10-15

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