مجلة أداء المؤسسات الجزائرية
Volume 3, Numéro 2, Pages 25-44
2015-01-14
Auteurs : Adouka Lakhdar . Chenini Abdurrahman . Bengana Ismail .
The objective of this paper is to model the volatility of the Algerian dinar exchange rate (DZA / dollar) and to predict its evolution for the first three months of 2014. Our study has showed that our series are characterized by the volatility phenomenon, by asymmetric specifications, and the presence of excessive kurtosis. ARCH test was performed. This test rejected the null hypothesis of homoscedasticity.
Exchange rate, Stationarity, Volatility, ARCH
Boumaali Mal
.
Mesbahi Mahmoud
.
pages 308-320.
Yasser Al.mishal
.
Kais Khder
.
pages 19-39.
Chaouche Saloua Nassima
.
Toumache Rachid
.
Medhar Mohamed
.
pages 56-67.