الفهرس | Only 14 pages are availabe for public view |
Abstract Modelling and forecasting exchange rate volatility is a great challenge, especially when it comes to a country’s economic and financial aspects. For past recent years, Egypt has passed through different ER regimes. Whenever external or internal shocks existed, the Egyptian authorities tried to absorb these shocks and the Central Bank of Egypt (CBE) allowed the exchange rate of the Egyptian Pounds against the USD to depreciate, and an announcement of the adoption of a new exchange rate regime was made. In this context, the main objective of this study is to model and forecast the behavioral fluctuation of the daily EGP exchange rate against the USD using a combination of the Seasonal ARMA (p, q) model, and the symmetric GARCH models and the asymmetric GARCH models under students’- t distribution of errors during the period from 22/10/1993 till 16/1/2022. The empirical results conclude the following: First, the negative sign of the constant coefficient, of the mean equation in all GARCH models, indicates the depreciation of the EGP exchange rate during the period of the study. Second, the EGP exchange rate returns exhibit persistent volatility clustering and leverage effect over the study period. The result of out-of-sample forecast indicates that SARMA (2, 1) EGARCH (1, 1) model is the best forecasting volatility model for the EGP exchange rate returns during the study period. Finally, the paper concludes that the EGP exchange rate volatility can be adequately modelled by the class of GARCH models. |