Modeling exchange volatility in Egypt using GARCH models

Jamal Bouoiyour () and Refk Selmi

MPRA Paper from University Library of Munich, Germany

Abstract: In 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.

Keywords: Exchange volatility; GARCH model; Egypt. (search for similar items in EconPapers)
JEL-codes: E0 F14 (search for similar items in EconPapers)
Date: 2012-04, Revised 2013-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:49131

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