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

Please use this identifier to cite or link to this item: 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

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