Modeling Algeria's broad money supply using ARIMA-EGARCH model

Abstract EN

To model and forecast Algeria’s broad money growth rate, a hybrid model was used based on autoregressive moving average Arima (0, 1, 1) where the Akaike information criterion (AIC) is used to examine the model's goodness of fit and an asymmetric Garch model (Egarch (1, 1)) to model the conditional variance where the log likelihood was behind our choice, while the percentage error of forecast was used to assess the predicting performance.