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https://dspace.univ-ouargla.dz/jspui/handle/123456789/8184
Title: | Peut-on modéliser la volatilité du taux de change de dinar algérienpar un processus GARCH ? |
Authors: | Lakhdar ADOUKA Abdurrahman CHENINI Ismail BENGANA |
Keywords: | Exchange rates Stationarity Volatility ARCH |
Issue Date: | Dec-2014 |
Series/Report no.: | numéro 06 2014; |
Abstract: | The objective of this paper is to model the volatility of the exchange rate of dinar Algeria (DZA / dollar) and predict that rate for the first three months of the year 2014.notre study showed that our series is characterized by the volatility phenomenon, by asymmetric specifications and a presence of excessive kurtosis. ARCH a test was performed. This test rejected the null hypothesis of homoskedasticity. |
Description: | Algerian Business Performance Review ABPR |
URI: | http://dspace.univ-ouargla.dz/jspui/handle/123456789/8184 |
ISSN: | 1938-2170 |
Appears in Collections: | numéro 06 2014 V3 n2 |
Files in This Item:
File | Description | Size | Format | |
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ABPR_06_F02.pdf | 780,3 kB | Adobe PDF | View/Open |
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