Modeling Volatility in the Gambian Exchange Rates: An ARMA-GARCH Approach

dc.contributor.author	Marreh, Sambujang
dc.contributor.author	Olubusoye, Olusanya E.
dc.contributor.author	Kihoro, John M.
dc.date.accessioned	2017-04-26T18:36:31Z
dc.date.available	2017-04-26T18:36:31Z
dc.date.issued	2015-09
dc.identifier.issn	1916-971X
dc.identifier.issn	1916-9728
dc.identifier.uri	http://hdl.handle.net/123456789/211
dc.description.abstract	This paper models the exchange rate volatility in the Gambian foreign exchange rates data. Financial time series models that combined autoregressive moving average (ARMA) and generalized conditional heteroscedasticity (GARCH) was explored theoritically and applied to the daily Euro and US dollars (USD) exchange rates against the Gambian Dalasi (GMD) from 2003 through 2013. Based on Akaike information criteria, the ARMA(1,1)- GARCH(1,1) and ARMA(2,1)-GARCH(1,1) were judged the best fitting models to the Euro/GMD and USD/GMD return series respectively. Our empirical results revealed that the distribution of the return series was heavy-tailed and volatility was highly persistent in the Gambian foreign exchange market.	en_US
dc.language.iso	en	en_US
dc.publisher	International Journal of Economics and Finance;	en_US
dc.relation.ispartofseries	;Vol. 6, No. 10;
dc.subject	exchange rates, Gambia, returns, volatility, ARMA, GARCH	en_US
dc.title	Modeling Volatility in the Gambian Exchange Rates: An ARMA-GARCH Approach	en_US
dc.type	Article	en_US