Garch Modelling with the Application to Ethiopian Foreign Exchange Rate

Abstract

quotThis thesis presents symmetric and asymmetric GARCH process and time series newlinestudy on Ethiopian Foreign exchange rate. By extending an existing model, we newlineoutline some stylized facts about volatility that should be incorporated in a newlinemodel; pronounced persistence and mean-reversion, asymmetry such that the newlinesign of innovation effects.quot newline newline