ABSTRACT
This work investigated the volatility clustering of exchange rate of Nigeria Naira against the United States
of America Dollar. The data used in the present study consist of the monthly exchange rates of the Naira
to Dollar from January 1999 to December 2012 obtained from the Central Bank of Nigeria. The main
focus is to provide a proper understanding of the theory and empirical working of GARCH family models
and to determine volatility clustering. The EGARCH(2,2) model was selected as the best model from
point of view of the Mean Absolute Error. The estimated parameters, plots of returns series and plot of
conditional variances were used in determining the volatility clustering. There were clear evidences of volatility clustering in Exchange rate of Nigeria naira against United States dollar.
CHUKWUNONSO, N (2021). Determination Of Volatility Clustering In Garch Family Models Using R. Afribary. Retrieved from https://afribary.com/works/determination-of-volatility-clustering-in-garch-family-models-using-r
CHUKWUNONSO, NWOYE "Determination Of Volatility Clustering In Garch Family Models Using R" Afribary. Afribary, 14 May. 2021, https://afribary.com/works/determination-of-volatility-clustering-in-garch-family-models-using-r. Accessed 05 May. 2024.
CHUKWUNONSO, NWOYE . "Determination Of Volatility Clustering In Garch Family Models Using R". Afribary, Afribary, 14 May. 2021. Web. 05 May. 2024. < https://afribary.com/works/determination-of-volatility-clustering-in-garch-family-models-using-r >.
CHUKWUNONSO, NWOYE . "Determination Of Volatility Clustering In Garch Family Models Using R" Afribary (2021). Accessed May 05, 2024. https://afribary.com/works/determination-of-volatility-clustering-in-garch-family-models-using-r