This paper aims to analyze shock transmission and subsequently the conditional correlation between real effective exchange rate with its determinants, i.e. economic growth proxied by per capita income, inflation rate, and the trade balance ratio to GDP employing annual data from Sudan economy covering the period 1960–2014. Long-run relationship was found among these variable. Vector Conditional Heteroskedasticity (VECH) and Baba, Engle, Kraft and Kroner (BEKK) estimation methods gave significant results, and the adequacy of the models has been achieved. The impact of own shocks via VECH is greater than those from BEKK. Shocks come from other variables, are strongest between real exchange rate and inflation rate, while that from inflation to per capita income is the weakest. Per capita income has strong persistence to shocks.
adequacy conditional correlation, MGARCH, shock transmission
