Open AccessModelling Nigerian Exchange Rates with Asymmetric GARCH Models
Author(s) -
Ojo O. Oluwadare,
Adedayo A. Adepoju,
OlaOluwa S. Yaya
Publication year - 2021
Publication title -
estudios de economía aplicada
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.123
H-Index - 6
eISSN - 1697-5731
pISSN - 1133-3197
DOI - 10.25115/eea.v39i2.2945
Subject(s) - autoregressive conditional heteroskedasticity , heteroscedasticity , volatility (finance) , econometrics , autoregressive model , economics , arch , financial models with long tailed distributions and volatility clustering , mathematics , forward volatility , stochastic volatility , civil engineering , engineering
This work consider the estimation of some naira exchange rate returns by volatility models which include the asymmetric variants, with estimation performed under normally distributed assumption of Generalized Autoregressive Conditional Heteroscedastic (GARCH). The symmetric versions are Riskmetrics, ARCH and GARCH models. Initially, first order serial correlation was observed in the returns series, implying the dependencies of current returns on the immediate past. Of the asymmetric volatility models, the Exponential GARCH (EGARCH) and Asymmetric Power ARCH (APARCH) posed to perform better than the other symmetric forms in the predicting the volatility of naira exchange returns.