To these data we apply both non-linear principal component analysis and Markov-switching generalized autoregressive conditional heteroscedasticity. Weekly data for the period January 2003–June 2020 are used. Nonetheless, this country study makes use of both unsupervised and supervised machine learning algorithms to classify structural changes as regime shifts in real exchange rates in South Africa. Exchange rate break points (known as structural breaks) have a momentous impact on the macroeconomy of a country. Exchange rate volatility is said to exemplify the economic health of a country.
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