القدرة التنبؤية لنماذج GARCH في قياس تقلب أسعار العملات العالمية دراسة قياسية

Abstract

This thesis examines the impact of two major global events, namely the COVID-19 pandemic and the Ukraine war, on six different currencies: the Canadian dollar (CND), Algerian dinar (DZD), Ukrainian currency (UAH), Russian ruble (RUB), Euro currency (EURO), and Japanese Yen (JPY). The study analyzes daily data from January 1, 2019, to March 28, 2023, capturing the pre-pandemic, pandemic, and war periods. To assess the influence of these events, we employ the Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model. This model allows us to test both negative and positive shocks on the currency exchange rates. Additionally, we utilize the GARCH(1,1) model to forecast the volatility of currency returns. The findings reveal that negative shocks have a more substantial effect on the currencies compared to positive shocks. This suggests that adverse events, such as the pandemic and war, have a stronger impact on currency depreciation. Moreover, the results demonstrate that the GARCH(1,1) forecasting model outperforms in predicting currency returns' volatility.