A Hybrid Arima-Garch Model to Forecast the Exchange Rate of the Egyptian Pound Par U.S Dollar
| المصدر: | المجلة العلمية للاقتصاد والتجارة |
|---|---|
| الناشر: | جامعة عين شمس - كلية التجارة |
| المؤلف الرئيسي: | Saad, Hisham Mohamed Abdelaziz (Author) |
| مؤلفين آخرين: | Elatraby, Amr I. A. (Advisor) |
| المجلد/العدد: | ع4 |
| محكمة: | نعم |
| الدولة: |
مصر |
| التاريخ الميلادي: |
2015
|
| الصفحات: | 101 - 123 |
| ISSN: |
2636-2562 |
| رقم MD: | 763692 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
Exchange Rate Forecasting | Autoregressive Integrated Moving Average | Garch | Hybrid Arima-Garch Model
|
| رابط المحتوى: |
عدد مرات التحميل
26
| المستخلص: |
Forecasting of exchange rates has been an extremely challenging and important task for both academic and business researchers. These forecasts are essential for central banks, corporations, investors and even individuals to hedge exchange rate risks and to generate profits. This study aims to build a statistical model to forecast the exchange rate of the Egyptian pound per U.S dollar (LE/ $US). Daily exchange rates were used covering the period from February to July Two statistical models were applied which were univariate autoregressive integrated moving averages (ARIMA) model and a hybrid model that combines the ARIMA model with the generalized autoregressive integrated moving average (GARCH). The Box-Cox transformation was used due to its power in stabilizing variance and reducing heteroscedasticity. The results showed that the hybrid ARIMA-GARCH model with t-distributed errors outperformed the univariate ARIMA model as it had the best out-of-sample forecasting performance based on different forecasting accuracy measures. |
|---|---|
| ISSN: |
2636-2562 |
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