Peut-on modéliser la volatilité du taux de change de dinar algérienpar un processus GARCH ?

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DC Field	Value	Language
dc.contributor.author	Lakhdar ADOUKA	-
dc.contributor.author	Abdurrahman CHENINI	-
dc.contributor.author	Ismail BENGANA	-
dc.date.accessioned	2014-12	-
dc.date.available	2014-12	-
dc.date.issued	2014-12	-
dc.identifier.issn	1938-2170	-
dc.identifier.uri	http://dspace.univ-ouargla.dz/jspui/handle/123456789/8184	-
dc.description	Algerian Business Performance Review ABPR	en_US
dc.description.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.	en_US
dc.language.iso	other	en_US
dc.relation.ispartofseries	numéro 06 2014;	-
dc.subject	Exchange rates	en_US
dc.subject	Stationarity	en_US
dc.subject	Volatility	en_US
dc.subject	ARCH	en_US
dc.title	Peut-on modéliser la volatilité du taux de change de dinar algérienpar un processus GARCH ?	en_US
dc.type	Article	en_US
Appears in Collections:	numéro 06 2014 V3 n2

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