Bouoiyour, Jamal; Selmi, Refk - Volkswirtschaftliche Fakultät, … - 2012
effective exchange rate in Egypt using monthly data from 1994 to 2009. Various GARCH extensions are performed here. The main … it. More importantly, when we take into account volatility clustering (i.e. Standard GARCH), we observe a quite … persistence implying a mean reverting variance process. However, when we consider the leverage effect (i.e. Exponential GARCH), we …