نمذجة تقلبات سعر صرف الليرة السورية مقابل الدولار الأمريكي باستخدام نماذج GARCH

Authors

  • طالب أحمد

Abstract

The aim of study was to modeling Syrian Pound exchange rate volatility against US Dollar by using Generalized Autoregressive Conditional Heteroscedasticity model (GARCH) during the period from January 2007 to December 2018. It also aimed to knowing impact of shock on Syrian Pound exchange rate, and effectiveness GARCH models in modeling exchange rate volatility, and proposal a standard model following GARCH (p, q) model.

The main results of the study:  It was build GARCH (1,1) model, which can be used to model Syrian Pound exchange rate volatility against US Dollar, where there is a significant impact of ARCH and GARCH shock on exchange rate volatility. It was also found that the impact of shock on Syrian Pound exchange rate volatility against US Dollar is large and continues indefinitely, and the future variance of exchange rates will remain conditional with the current shock to indefinitely.

 

هدفت الدراسة لنمذجة تقلبات سعر صرف الليرة السورية مقابل الدولار الأمريكي من خلال استخدام نموذج الانحدار الذاتي المعمم المشروط بعدم تجانس تباينات الأخطاء (GARCH) خلال الفترة من كانون الثاني 2007 إلى كانون الأول 2018, كما هدفت للتعرف على أثر الصدمة في تذبذب سعر صرف الليرة السورية، ومدى فعالية نماذج   GARCH  في نمذجة تقلبات سعر الصرف، واقتراح نموذج قياسي يتبع نموذج GARCH(p,q) .

 

وكانت أهم نتائج الدراسة أنه: تم التوصل إلى نموذج قياسي هو  GARCH(1,1) يمكن استخدامه في نمذجة تقلبات سعر صرف الليرة السورية مقابل الدولار الأمريكي, حيث يوجد أثر لمعنوية صدمة ARCH و GARCH على تقلبات سعر صرف الليرة السورية, كذلك تبين أن أثر الصدمة على تقلبات سعر صرف الليرة السورية مقابل الدولار الأمريكي هو كبير ويستمر إلى ما لانهاية، وأن التباين المستقبلي لأسعار الصرف سيظل مشروطاً بالصدمة الحالية إلى ما لانهاية.

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Published

2019-11-03

How to Cite

أحمد ط. (2019). نمذجة تقلبات سعر صرف الليرة السورية مقابل الدولار الأمريكي باستخدام نماذج GARCH. Tishreen University Journal- Economic and Legal Sciences Series, 41(5). Retrieved from https://journal.tishreen.edu.sy/index.php/econlaw/article/view/9168

Issue

Vol. 41 No. 5 (2019): العلوم الاقتصادية والقانونية

Section

Articles

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