Fourth Edition of the International Conference on Research in Applied Mathematics and Computer Science ICRAMCS 2022
 March 24-25-26, 2022
Online and Face-to-Face Conference

ICRAMCS, 4 (2022) | Proceedings ISSN: 2605-7700

Research Communication | Open Access
Volume 2022 | Communication ID 482
Nonlinear dynamics of the Moroccan exchange rate: ARFIMA(p,d,q)-EGARCH(p,q)-M model
Mourad Maarouf
Academic Editor: Youssef EL FOUTAYENI
Received
Accepted
Published
February 01, 2022
March 03, 2400
April 15, 2400

Abstract: In an environment characterized by the predominance of uncertainty and informational imperfections, the study of the volatility of foreign exchange returns is of great importance in the decision-making process of players intervening in this market. What matters in this work is not to prove the existence of exchange rate volatility, but to determine the profile of this volatility by entering into a nonlinear dynamic. To be able to answer this problem while taking into account the stylized facts characterizing the financial series, we will adopt an econometric model ARFIMA (p,d,q)-EGARCH-M. ...