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Using apgarch/avgarch models Gaussian and non-Gaussian for modeling volatility exchange rate | ||
| International Journal of Nonlinear Analysis and Applications | ||
| مقاله 245، دوره 13، شماره 1، خرداد 2022، صفحه 3029-3038 اصل مقاله (421.33 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2022.6035 | ||
| نویسندگان | ||
| Suhail Najm Abdulla* ؛ Heba Dhaher Alwan | ||
| Department of Statistics, University of Baghdad, Baghdad, Iraq | ||
| تاریخ دریافت: 16 آبان 1400، تاریخ بازنگری: 29 آذر 1400، تاریخ پذیرش: 12 دی 1400 | ||
| چکیده | ||
| This paper aims to measure the effect of the volatility on the daily closing price for the (Iraqi dinar against US dollar) from (21 July 2011) until (21 July 2021) using the models of asymmetric general autoregressive conditional heterogeneity (APGARCH and AVGARCH). The parameter estimated by Maximum Likelihood Estimation method and the error term assumed two distributional (General error distribution and Student's t distribution), the results showed that the APGARCH(1,2) with error term distributed (Student's t) distribution is the best model for the return series of the (IQ/USD) exchange rate to get the lowest value according to the information criteria for determining ranks (AIC, BIC) in addition to the presence of the asymmetric effect of the leverage, and this is evidence that negative shocks affect volatility more than positive shocks (the impact of the positive shocks is less than the impact of the negative shocks). | ||
| کلیدواژهها | ||
| Volatility؛ asymmetric GARCH model؛ exchange rate | ||
| مراجع | ||
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