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Around ARCH or GARCH models and their application toexchange rate volatility

Abdelali Ezzebsa, Halim Zeghdoudi, Mohamed Riad Remita, Sihem Nedjar


In this paper, we study ARCH models and their applications to the Value-At-Risk. More precisely, we give an extensive bibliographic overview of the developments of the ARCH or GARCH models and its applications. To this end, we made an application relates to the exchange rate volatility of Algerian dinar against the EURO and the U.S. Dollar for the period from June 2009 at May 2011, which we compared the models resulting from various standard processes ARCH (ARCH, GARCH, IGARCH, EGARCH, TARCH, and APARCH) and over various periods.


Algerian dinar exchange rate, symmetric GARCH, asymmetric GARCH, Volatility, return Forecast.

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