Exchange Rate Spillovers From Major Trade Partners to the Uzbek Soum: An ARCH-GARCH Analysis

This study investigates volatility spillovers from the exchange rates of Uzbekistan’s two largest trading partners - the Chinese yuan (CNY) and the Russian ruble (RUB) - to the Uzbek soum (UZS) using multivariate ARCH GARCH methodologies. Employing diagonal BEKK(1,1) models on weekly log returns, we first confirm strong volatility persistence in both the CNY - UZS and RUB - UZS systems. Spillover analysis reveals minimal cross currency effects: in the CNY–UZS pair, only lagged soum variance significantly influences yuan volatility, with no reverse spillover; in the RUB - UZS pair, neither ARCH nor cross GARCH terms attain significance.