Volatility Modelling using ARCH and GARCH Models (A Case study of Exchange Rate in Sudan) (at the period from 2007-2018 )
- Author Elhadi Gafer Osman Elmansour
- DOI
- Country : Sudan
- Subject : Economics and Finance
Keywords : Exchange rate, ARCH Model, Inflation, heterosckedaciticty, Volatility
Abstract
This study aims to know on the variance volatility to exchange rate in Sudan at the period (2007 – 2018) and estimate the variance of exchange rate in Sudan also, and how to forecasting by exchange rate in Sudan by using ARCH and GARCH model, and also we found that the model is not suffering from the ARCH effect.The approach using in analysis is ARCH and GARCH models (Volatility models or time-varying dynamic time series).
Moreover, the study depended on the searching of the best model representative to exchange rate variable, through the analysis results we found that the best model is ARCH - GARCH (1,1).
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