Modeling exchange volatility in Egypt using GARCH models
AbstractIn this study, we consider the generalized autoregressive conditional heteroscedastic approach in modeling real effective exchange rate in Egypt using monthly data from 1994 to 2009. Various GARCH extensions are performed here. The main results show that real effective exchange rate volatility may have different behaviors based on measures enable to determine it. More importantly, when we take into account volatility clustering (i.e. Standard GARCH), we observe a quite persistence implying a mean reverting variance process. However, when we consider the leverage effect (i.e. Exponential GARCH), we notice a tendency to a long memory which can be itself a source of an explosive process.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 49131.
Date of creation: Apr 2012
Date of revision: Mar 2013
Exchange volatility; GARCH model; Egypt.;
Find related papers by JEL classification:
- E0 - Macroeconomics and Monetary Economics - - General
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
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