Measure the variation in inflation rates in Egypt using Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. | ||
| The Egyptian Statistical Journal | ||
| Article 1, Volume 63, Issue 2, December 2019, Pages 1-19 PDF (542.35 K) | ||
| Document Type: Original Article | ||
| DOI: 10.21608/esju.2019.188536 | ||
| Author | ||
| Emad Eldin I. Aly | ||
| Faculty of Commerce, Ain Shams University | ||
| 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. | ||
| Keywords | ||
| Conditional variance; GARCH models; Inflation rates; Volatility | ||
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