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

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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

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