Modelling Exchange Rate Volatility using GARCH Models: Empirical Evidence from Arab Countries

@article{Abdalla2012ModellingER,
  title={Modelling Exchange Rate Volatility using GARCH Models: Empirical Evidence from Arab Countries},
  author={Suliman Zakaria Suliman Abdalla},
  journal={International journal of economics and finance},
  year={2012},
  volume={4},
  pages={216}
}
  • S. Abdalla
  • Published 23 February 2012
  • Economics
  • International journal of economics and finance
This paper considers the generalized autoregressive conditional heteroscedastic approach in modelling exchange rate volatility in a panel of nineteen of the Arab countries using daily observations over the period of 1 st January 2000 to 19 th November 2011. The paper applies both symmetric and asymmetric models that capture most common stylized facts about exchange rate returns such as volatility clustering and leverage effect. Based on the GARCH(1,1) model, the results show that for ten out of… 

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