Modelling Volatility of Naira/US Dollar Exchange Rate Dynamics Using Conditional Heteroskedasticity Models with Non-Gaussian Errors
David Adugh Kuhe & Peter Teryila Agaigbe · Asian Research Journal of Mathematics · 2018
This study searches for optimal symmetric and asymmetric Conditional Heteroskedasticity (ARCH/GARCH) models that best fit and model volatility between Nigeria Naira and United States Dollar exchange rate dynamics in Nigeria using non-Gaussian errors. The study utilizes daily clos...
Open access
Research Article
10.9734/ARJOM/2018/39860