Can we modelize thevolatilityofthe Algerian Dinarexchange rateby GARCH process?

Lakhdar ADOUKA; Abdurrahman CHENIN; Ismail BENGANA

Lakhdar ADOUKA Faculté des sciences économiques, gestion et des sciences commercialesUniversité de Mascara
Abdurrahman CHENIN Faculté des sciences économiques, gestion et des sciences commercialesUniversité de Mascara
Ismail BENGANA Laboratoire LAQSEFUniversité Kasdi Merbah Ouargla

Keywords: Exchange rate, Stationarity, Volatility, ARCH

Abstract

The objective of thispaperis to modelthe volatilityof theAlgerian dinarexchange rate(DZA/dollar)and to predictits evolutionforthe first threemonths of 2014.Ourstudy has showed thatour seriesarecharacterized bythevolatilityphenomenon, byasymmetricspecifications,and thepresenceofexcessivekurtosis. ARCHtest was performed. This testrejected thenull hypothesisof homoscedasticity.