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188536

Measure the variation in inflation rates in Egypt using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models.

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Last updated: 28 Dec 2024

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Abstract

A model of generalized autoregressive conditional heteroscedastic was best to study the variance of inflation rates in Egypt from January 2006 to December 2017. This study aimed firstly to investigate suitability of the GARCH models to fit such data by examining the effect of heteroskedasticity. By using AIC, SIC, and BIC criteria of accuracy to check and choose the best model from selected models, GARCH (1,2) was the best model.

DOI

10.21608/esju.2019.188536

Keywords

Conditional variance, GARCH Models, Inflation rates, volatility

Authors

First Name

Emad Eldin

Last Name

Aly

MiddleName

I.

Affiliation

Faculty of Commerce, Ain Shams University

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City

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Orcid

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Volume

63

Article Issue

2

Related Issue

26948

Issue Date

2019-12-01

Receive Date

2021-08-09

Publish Date

2019-12-01

Page Start

1

Page End

19

Print ISSN

0542-1748

Online ISSN

2786-0086

Article File

ESJU_Volume 63_Issue 2_Pages 1-19.pdf

PDF . 555.4kB

Link

https://esju.journals.ekb.eg/article_188536.html

Detail API

https://esju.journals.ekb.eg/service?article_code=188536

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Original Article

Type Code

1,914

Publication Type

Journal

Publication Title

The Egyptian Statistical Journal

Publication Link

https://esju.journals.ekb.eg/

MainTitle

Measure the variation in inflation rates in Egypt using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models.

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Article

Created At

23 Jan 2023