Forecast the exchange rate of the Iraqi dinar against the US dollar using different versions of GARCH models
Other Title(s)
التنبؤ بأسعار سعر الصرف للدينار العراقي مقابل الدولار الأمريكي باستعمال صيغ مختلفة من نماذج GARCH
Joint Authors
al-Sharut, Muhammad Habib
al-Ramadan, Umar Muhyi Muhsin
Source
al-Qadisiyah Journal for Computer Science and Mathematics
Issue
Vol. 10, Issue 3 (31 Dec. 2018), pp.1-13, 13 p.
Publisher
University of al-Qadisiyah College of computer Science and Information Technology
Publication Date
2018-12-31
Country of Publication
Iraq
No. of Pages
13
Main Subjects
Economics & Business Administration
Abstract EN
There are many time series that are characterized by large variability, which makes them suffer from the problem of heterogeneity of contrast clearly, Where the time series analysis requires the homogeneity of variance for this purpose was the study and review of some important models used in dealing with the time series heterogeneous in contrast, a GARCH, ARMA-GARCH,TGARCH, EGACH , When the distribution of errors follows the normal distribution which was discovered by Engle since 1982, The aim of this study was to forecast .
This study aimed at forecasting the exchange rates of the Iraqi dinar against the US dollar for the period from 2010 to 2018 through an analysis of fluctuations in the exchange rate series.
The application of the studied data showed that the best model for predicting volatility is ARMA (0-1) -GARCH 2.1) based on some criteria for selecting the AIC, SIC, H-QIC and the significance of the estimated model parameters
American Psychological Association (APA)
al-Sharut, Muhammad Habib& al-Ramadan, Umar Muhyi Muhsin. 2018. Forecast the exchange rate of the Iraqi dinar against the US dollar using different versions of GARCH models. al-Qadisiyah Journal for Computer Science and Mathematics،Vol. 10, no. 3, pp.1-13.
https://search.emarefa.net/detail/BIM-875396
Modern Language Association (MLA)
al-Sharut, Muhammad Habib& al-Ramadan, Umar Muhyi Muhsin. Forecast the exchange rate of the Iraqi dinar against the US dollar using different versions of GARCH models. al-Qadisiyah Journal for Computer Science and Mathematics Vol. 10, no. 3 (2018), pp.1-13.
https://search.emarefa.net/detail/BIM-875396
American Medical Association (AMA)
al-Sharut, Muhammad Habib& al-Ramadan, Umar Muhyi Muhsin. Forecast the exchange rate of the Iraqi dinar against the US dollar using different versions of GARCH models. al-Qadisiyah Journal for Computer Science and Mathematics. 2018. Vol. 10, no. 3, pp.1-13.
https://search.emarefa.net/detail/BIM-875396
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 12
Record ID
BIM-875396