Modeling Exchange Rate Volatility using APARCH Models

Authors

  • Carolyn Ogutu School of Mathematics, University of Nairobi, Nairobi
  • Betuel Canhanga Department of Mathematics and Computer Sciences, Eduardo Mondlane University
  • Pitos Biganda Department of Mathematics, University of Dar Es Salaam

DOI:

https://doi.org/10.3126/jie.v14i1.20072

Keywords:

GARCH, ARCH, APARCH, ARMA

Abstract

ARCH (Autoregressive Conditional Heteroskedacity) and GARCH (Generalized Autoregressive Conditional Heteroskedacity) models have been used in forecasting fluctuations in exchange rates, commodities and securities and are appropriate for modeling time series in which there is non-constant variance, and in which the variance at one time period is dependent on the variance at a previous time period. In our paper we deal with APARCH models (Arithmetic Power Autoregressive Conditional Heteroskedasticity) in order to fit into a data series with asymmetric characteristics. We use Kenyan, Tanzanian and Mozambican data and perform the time series analysis and obtain a model that characterize the data set under consideration.

 Journal of the Institute of Engineering, 2018, 14(1): 96-106

 

Downloads

Download data is not yet available.
Abstract
2663
PDF
1436

Downloads

Published

2018-06-04

How to Cite

Ogutu, C., Canhanga, B., & Biganda, P. (2018). Modeling Exchange Rate Volatility using APARCH Models. Journal of the Institute of Engineering, 14(1), 96–106. https://doi.org/10.3126/jie.v14i1.20072

Issue

Section

Articles