Asian Economic and Financial Review, 2015, 5(10):1174-1186 † Corresponding author DOI: 10.18488/journal.aefr/2015.5.10/102.10.1174.1186 ISSN(e): 2222-6737/ISSN(p): 2305-2147 © 2015 AESS Publications. All Rights Reserved. 1174 EXCHANGE RATE VOLATILITY AND EXPORT PERFORMANCE IN SOUTH AFRICA: (2000-2014) Wilson Chamunorwa 1 --- Ireen Choga 2† 1 Department of Economics, University of Fort Hare, South Africa 2 School of Economics and Decisions Sciences, North West University, South Africa ABSTRACT This study sought to investigate the relationship between exchange rate volatility and export performance in South Africa. The main objective of the study was to examine the impact of exchange rate volatility on export performance in South Africa. This relationship was examined using GARCH methods. Exports were regressed against real effective exchange rate, trade openness, and capacity utilisation. The research aimed to establish weather exchange rate volatility impacts negatively on export performance in the manner suggested by econometric model. The result obtained showed that exchange rate volatility had a significantly negative effect of South African exports in the period 2000-2011. © 2015 AESS Publications. All Rights Reserved. Keywords: Exchange rate volatility, Export performance, GARCH, Trade openness, South Africa. Contribution/ Originality This study contributes in the existing literature that asserts that exchange rate volatility impacts negatively on export performance. GARCH method has been employed to connect the rand volatility to export volumes. It emerged that exchange rate volatility risk reduce gains to international trade. Exporting firms tend to export fewer products to destinations with higher currency volatility. The finding of this research is that exchange rate volatility impacts negatively on the firms exporting behaviour. 1. INTRODUCTION The exchange rate of a country plays a pivotal role in public debate on trade and trade policy in South Africa. Like many developing countries, South Africa‟s economic success depends on the rest of the world. The level of interdependence has increased from the previous decade as we move towards an era of free trade. This means it is highly influenced by changes in world demand and Asian Economic and Financial Review ISSN(e): 2222-6737/ISSN(p): 2305-2147 URL: www.aessweb.com