Modeling inflation rates and exchange rates in Ghana: application of multivariate GARCH models

Modeling inflation rates and exchange rates in Ghana: application of multivariate GARCH models

This paper was aimed at investigating the volatility and conditional relationship among inflation rates, exchange rates and interest rates as well as to construct a model using multivariate GARCH DCC and BEKK models using Ghana data from January 1990 to December 2013. The study revealed that the cumulative depreciation of the cedi to the US dollar from 1990 to 2013 is 7,010.2% and the yearly we...

Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application

The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the performance of the two multivariate GARCH models BEKK and DCC, applied on ten years exchange rates data. Estimations and forecasts of the covariance matrix are made for the EUR/SEK and USD/SEK, whereby the forecasts are used in a pract...

Bounded Influence Estimation and Outlier Detection for GARCH Models With an Application to Foreign Exchange Rates

In this paper, we propose a bounded influence estimation (BIE) and outlier detection procedure for GARCH models. Previous studies show that maximum likelihood estimates of GARCH models are sensitive to outliers and financial time series present a heavy tail due to outliers. The proposed BIE limits the influence of a small subset of the data and is asymptotically normal. Its robustness against o...

Nonlinearity In Exchange Rates and Forecasting

The Impact of Exchange Rates on Inflation in Nigeria (1981-2015)

The main goal of this study is to investigate the impact of information and communication technology (ICT) on human development in the six Gulf Cooperation Council countries (GCC), particularly, the effect of ICT development index on the three-key component of human development; income, health, and education. The study focused on the years 2005-2014. Based on the theoretical background explaine...