Research Communication | Open Access
Volume 2019 | Communication ID 18
Volume 2019 | Communication ID 18
| Comparative study of the USD/MAD and EUR/USD exchange rate volatility over all periods of Moroccan foreign exchange market |
Hamza Bouhali and Mohammed Salah Chiadmi
Received |
Accepted |
Published |
Nov 27, 2018 |
Dec 31, 2018 |
Mar 01, 2019 |
Abstract: This article aims to establish a comparative study between the volatility of the USD/MAD and the EUR/USD since the beginning of the foreign exchange market in Morocco. In our analysis, we will use the Generalized Autoregressive Conditional heteroskedastic (GARCH) model to evaluate the conditional variance and the EGARCH (Exponential GARCH) model to capture the volatility asymmetry of these two series. We will also try to exhibit the volatility gap between the USD/MAD and the EUR/MAD through a synthetic analysis of the different periods. It will be based essentially on the interpretation of ...