Modeling Exchange Rate Volatility: Application of the GARCH and EGARCH Models
Manamba Epaphra · 2017 · Journal of Mathematical Finance
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Abstract
Policy makers need accurate forecasts about future values of exchange rates. This is due to the fact that exchange rate volatility is a useful measure of uncertainty about the economic environment of a country. This paper applies univariate nonlinear time series analysis to the daily (TZS/USD) exchange rate data spanning from January 4, 2009 to July 27, 2015 to examine the behavior of exchange rate in Tanzania. To capture the symmetry effect in exchange rate data, the paper applies both ARCH and GARCH models. Also, the paper employs exponential GARCH (EGARCH) model to capture the asymmetry in
Abstract by Manamba Epaphra, Journal of Mathematical Finance (2017) — licensed CC BY 4.0.
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Metadata source: OpenAlex · DOI 10.4236/jmf.2017.71007