استخدام نماذج GARCH المتناظرة و غير المتناظرة للتنبؤ بتقلبات سعر صرف الجنية السوداني خلال الفترة 1960-2021

Abstract EN

The study aimed to measure the fluctuations of the exchange rate in Sudan during the period (1960-2021 ad) using GARCH models and assumed the instability of the exchange rate series and that the impact of the shock on the fluctuation of the exchange rate is a profound and lasts for long periods.

both symmetric and asymmetric GARCH models, and concluded that the exchange rate chain is unstable during the study period, and also found that the impact of the shock on fluctuation by calculating the process coefficient, which indicates that the future variance will remain conditioned by the current shock to infinity and that the variance of the conditional distribution is not finished.