مجاميع المعرفة
Volume 6, Numéro 1, Pages 387-403

The Paradox Of Dollar During Global Financial Crisis (an Application Of Arima And Arch Models)

Authors : Bouziane Mokhtaria . Kadri Alaeddine .

Abstract

Does global financial crisis cause volatility of dollar exchange rate or not, a crucial question has been investigated by many scholars, where the appreciation of dollar make a paradox; Whether the crisis has an impact on the Dollar exchange rate The existing literature point out conflicting views in this regard. Therefore, This study aims to analyses the volatility of the Dollar exchange rate during 2008 financial crisis using various volatility models such as Autoregressive Integrated Moving Average Autoregressive Integrated Moving Average and Autoregressive Conditional Heteroskedasticity models During the period from (01- 01- 2005to 01- 12 -2014); the results shows that there is a positive statistically significant effect of the crisis on volatility of dollar exchange rate

Keywords

financial crisis ; Dollar exchange rate ; Volatility ; ARIMA model ; ARCH model