Modeling the News Impact on Volatility to Refugees Movement from LMICs: An APARCH Approach

Abstract

Political and economic instability, armed conflicts, and weather abnormalities may introduce a high degree of volatility to the refugee movement. Refugee movement volatility is said to be asymmetric when positive and negative shocks of the same magnitude affect it differently. APARCH is one of the GARCH extension types of models that are popularly used to capture asymmetric volatility. In this paper, an attempt is made to model the volatility of the yearly refugee movement for the low-and middle-income countries using the APARCH model. The key finding of this study is that GARCH-extension type models indicating past volatility of the annual number of refugees is significant, influencing current volatility. The News Impact Curve is derived from the fitted APARCH model, which confirmed the presence of asymmetry in the volatility of the refugee movement. The News Impact Curve of the models for both groups of countries described that negative shocks of the same magnitude have a larger impact on volatility to refugee movement than positive shocks.