Modeling the Volatility of Ethiopian Birr
| dc.contributor.advisor | Gotu, Butte (PhD) | |
| dc.contributor.author | Alemu, Ashenati | |
| dc.date.accessioned | 2022-03-29T08:56:47Z | |
| dc.date.accessioned | 2023-11-09T14:29:25Z | |
| dc.date.available | 2022-03-29T08:56:47Z | |
| dc.date.available | 2023-11-09T14:29:25Z | |
| dc.date.issued | 2013-06 | |
| dc.description.abstract | Volatility models cover a wide range of topics in econometrics and Statistics. They are broadly divided in to two categories: ARCH type and SV models based on the determination of variance at time (t-I) having all information at time t. The objective of this study is modeling the volati lity of exchange rate of ETB deterministically and stochastically using ARCH type and SV models, respectively. ARCH type volati lity models are considered as deterministic whereas SV models are stochastic. The data series used for the study is obtained from the NBE from February 2, 2001 to March 15 , 20 13 and consists of about 3092 dai ly observations. The major currencies selected for the study based on the availability of data documentation were: EURO, GBP and USD FOREX rate per ETB. A variety of time series models such as ARCH (1), ARCH (2), sGARCH (1 , 1); EGARCH (1 , I), APARCH (1 , 1) and basic SV model were estimated. The models used for the analysis were selected based on their performance reflected in the literature of econometrics and Statistics. Among the major currencies selected for the study; a EURO FOREX rate failed to pass the ARCH effect test and model estimation was done only for GBP and USD FOREX rate. The results of the study indicate that sGARCH (I, I) outperforms other ARCH type time series models for modeling the volatility of exchange rate of ETB per major currencies (GBP and USD). Furthermore, SV model was modeled alone without any comparison for both currencies return. SV model fulfilled all the basic assllmptions and can be a candidate for fitting the volatility of GBP and USD return series per ETB. | en_US |
| dc.identifier.uri | http://10.90.10.223:4000/handle/123456789/30966 | |
| dc.language.iso | en | en_US |
| dc.publisher | Addis Ababa University | en_US |
| dc.subject | Volatility of Ethiopian Birr | en_US |
| dc.title | Modeling the Volatility of Ethiopian Birr | en_US |
| dc.type | Thesis | en_US |