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Forecasting of Exchange Rate Volatility between Naira and US Dollar Using GARCH Models

Exchange rates are important financial problem that is receiving attention globally.This study investigated the volatility modeling of daily Dollar/Naira exchange rate using GARCH, GJR-GARCH, TGRACH and TS-GARCH models by using daily data over the period June 2000 to July 2011.The aim of the study is to determine volatility modeling of daily exchange rate between US (Dollar) and Nigeria (Naira).The results show that the GJR-GARCH and TGARCH models show the existence of statistically significant asymmetry effect.The forecasting ability is subsequently assessed using the symmetric lost functions…

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Source	OpenAlex research
Collection	International records
Kind	Document
Publisher	International Journal of Academic Research in Business and Social Sciences
Date	2014-07-13
Type	article
Details	openalex authorships.countries:NG,primary topic.subfield.id:3320\|3321\|3308\|1202\|3303\|3312\|2002\|2000\|2003 + local /\bnige
Found at	https://doi.org/10.6007/ijarbss/v4-i7/1029
Archived copy	Look it up in the Wayback Machine
Record ID	`openalex:W2012621515`

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Forecasting of Exchange Rate Volatility between Naira and US Dollar Using GARCH Models. OpenAlex research, 2014. Vero Archive, record openalex:W2012621515.