Forecast the exchange rate of the Iraqi dinar against the US dollar using different versions of GARCH models.

Abstract

There are many time series that are characterized by large variability, which makes them suffer from the problem of heterogeneity of contrast clearly, Where the time series analysis requires the homogeneity of variance for this purpose was the study and review of some important models used in dealing with the time series heterogeneous in contrast, a GARCH, ARMA-GARCH,TGARCH, EGACH , When the distribution of errors follows the normal distribution which was discovered by Engle since 1982, The aim of this study was to forecast . This study aimed at forecasting the exchange rates of the Iraqi dinar against the US dollar for the period from 2010 to 2018 through an analysis of fluctuations in the exchange rate series. The application of the studied data showed that the best model for predicting volatility is ARMA (0-1) -GARCH 2.1) based on some criteria for selecting the AIC, SIC, H-QIC and the significance of the estimated model parameters.