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Investigating Daily Naira/Dollar Exchange Rate Volatility: A Modeling using GARCH and Asymmetric Models
2014
IOSR Journal of Mathematics
Exchange rates are important financial problem that is receiving attention globally. This study investigated the volatility of daily Dollar/Naira exchange rate using GARCH (1, 1), GJR-GARCH (1, 1), TGARCH (1, 1) and TS-GARCH (1, 1) models by using daily data over the period June 1 st , 2000 to July 26, 2011 consisting of 4083 observations. The results from all the models show that volatility was persistent (i.e. exceed 1) indicating GARCH (1, 1) , 1) , and TS-GARCH (1, 1) models variances are
doi:10.9790/5728-1022139148
fatcat:7n5her46i5adzpdgrvw74a5pai