International Journal of Multidisciplinary Research and Development

International Journal of Multidisciplinary Research and Development


International Journal of Multidisciplinary Research and Development
International Journal of Multidisciplinary Research and Development
Vol. 6, Issue 11 (2019)

Modeling exchange rate volatility, using Univariate Generalized Autoregressive conditionally Hetroscedastic type models: evidence from Afghanistan


Mahmood Mahroowal, Hedayatullah Salari

In this study, an attempt is made to examine the performance of GARCH family models (including symmetric GARCH, GARCH-M, and asymmetric EGARCH models) in Forecasting the volatility behavior of Afghanistan foreign exchange rate. Daily foreign exchange rates of Afghani with USD data, ranging from 2018/09/01 to 2019/10/16 are used. Theoretically, the first order autoregressive behavior of the foreign exchange rate was evidenced in GARCH, GARCH-M and E-GARCH models while GARCH, GARCH-M and E-GARCH models support that previous day foreign exchange rate affected the current day exchange rate. Based on the comparison of the above models, found the GARCH (1, 1) is the best model to explain the volatility of the return on the exchange of AFN with US Dollar.
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How to cite this article:
Mahmood Mahroowal, Hedayatullah Salari. Modeling exchange rate volatility, using Univariate Generalized Autoregressive conditionally Hetroscedastic type models: evidence from Afghanistan. International Journal of Multidisciplinary Research and Development, Volume 6, Issue 11, 2019, Pages 21-26
International Journal of Multidisciplinary Research and Development International Journal of Multidisciplinary Research and Development