[ Modèles GARCH : Application aux Taux de Change Algérien ]
Volume 11, Issue 3, June 2015, Pages 699–715
Lakhdar ADOUKA1, Yahia BOUCHETA2, Abderrahmane CHENINI3, and El Mustapha KCHIRID4
1 Université de Mascara, Faculté des Sciences Economiques, Mascara, Algeria
2 Université de Sidi Bel Abbes, Faculté des Sciences Economiques, Sidi Bel Abbes, Algérie
3 Université de Mascara, Faculté des Sciences Economiques, Mascara, Algérie
4 Université de Cadi Ayyad, Faculté des sciences Economiques, Marrakech, Maroc
Original language: French
Copyright © 2015 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
The objective of this paper is to modelize the volatility of the Algerian exchange rate against the American dollar (DZA / US Dollar) and to predict the rate for the first three months of 2014. Our study showed that our series is characterized by the volatility of the phenomenon, by asymmetric specification and by the presence of excessive kurtosis. ARCH test was performed. This test has rejected the null hypothesis of homoscedasticity. Therefore we have concluded that a nonlinear ARMA model type ARCH is adequate. Then, we have estimated four ARCH type models: AR (2) -ARCH (2), AR (2) -GARCH (1,1), AR (2) -EGARCH (1,1) and AR (2) - TGARCH (1,1). The AIC leads us to choose the TGARCH (1,1) model as a suitable one for the prediction. The Forecasting quality criteria (RMSE and U Theil) indicate that we have reached a good prediction model.
Author Keywords: Exchange Rate, GARCH, Volatility, Stationnarity, Forecast.
Volume 11, Issue 3, June 2015, Pages 699–715
Lakhdar ADOUKA1, Yahia BOUCHETA2, Abderrahmane CHENINI3, and El Mustapha KCHIRID4
1 Université de Mascara, Faculté des Sciences Economiques, Mascara, Algeria
2 Université de Sidi Bel Abbes, Faculté des Sciences Economiques, Sidi Bel Abbes, Algérie
3 Université de Mascara, Faculté des Sciences Economiques, Mascara, Algérie
4 Université de Cadi Ayyad, Faculté des sciences Economiques, Marrakech, Maroc
Original language: French
Copyright © 2015 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
The objective of this paper is to modelize the volatility of the Algerian exchange rate against the American dollar (DZA / US Dollar) and to predict the rate for the first three months of 2014. Our study showed that our series is characterized by the volatility of the phenomenon, by asymmetric specification and by the presence of excessive kurtosis. ARCH test was performed. This test has rejected the null hypothesis of homoscedasticity. Therefore we have concluded that a nonlinear ARMA model type ARCH is adequate. Then, we have estimated four ARCH type models: AR (2) -ARCH (2), AR (2) -GARCH (1,1), AR (2) -EGARCH (1,1) and AR (2) - TGARCH (1,1). The AIC leads us to choose the TGARCH (1,1) model as a suitable one for the prediction. The Forecasting quality criteria (RMSE and U Theil) indicate that we have reached a good prediction model.
Author Keywords: Exchange Rate, GARCH, Volatility, Stationnarity, Forecast.
Abstract: (french)
L'objectif de ce papier est de modéliser la volatilité du taux de change du Dinar Algérien par rapport au Dollar Américain (DZA/Dollar) et de prévoir ce taux pour les trois premiers mois de l'année 2014. Notre étude a montré que notre série est caractérisée par le phénomène de volatilité, par des spécifications asymétriques et par la présence de kurtosis excessif. Un test ARCH a été réalisé. Ce test a rejeté l'hypothèse nulle d'homoscédasticité. Nous avons donc déduit qu'un modèle ARMA non linéaire de type ARCH est adéquat. Ensuite, nous avons estimé quatre modèles de type ARCH : AR(2)-ARCH(2), AR(2)-GARCH(1,1), AR(2)-EGARCH(1,1) et AR(2)-TGARCH(1,1). Le critère d'AIC nous amène à choisir le modèle TGARCH(1,1) comme modèle adéquat pour la prévision. Les critères de qualité de prévision RMSE et U Theil, nous indiquent que nous avons abouti à un bon modèle de prédiction.
Author Keywords: Taux de change, (G)ARCH, Volatilité, Stationnarité, Prévision.
How to Cite this Article
Lakhdar ADOUKA, Yahia BOUCHETA, Abderrahmane CHENINI, and El Mustapha KCHIRID, “GARCH models: Application to the Algerian Exchange Rate,” International Journal of Innovation and Applied Studies, vol. 11, no. 3, pp. 699–715, June 2015.
