期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2016
卷号：6
期号：2
页码：380-385
语种：English
出版社：EconJournals
摘要：One of the most important and effectiveness of macroeconomics variables is prediction of future exchange rate trend which heavily considered by economic scholars. Its changes affects different parts of economic, thus it is necessary to model it to provide more suitable economic advising. In order to do that, in this paper we have used SARIMA, ARCH and GARCH models to simulate the time series trends of exchange rate in Iranian non-official market. The results show that GARCH (Generalized Autoregressive Conditional Heteroskedastistiy) provides better and more acceptable outputs than SARIMA. Keywords: SARIMA, ARCH, GARCH, Exchange Rate JEL Classifications : C22, C32, E31, E32
其他摘要：One of the most important and effectiveness of macroeconomics variables is prediction of future exchange rate trend which heavily considered by economic scholars. Its changes affects different parts of economic, thus it is necessary to model it to provide more suitable economic advising. In order to do that, in this paper we have used SARIMA, ARCH and GARCH models to simulate the time series trends of exchange rate in Iranian non-official market. The results show that GARCH (Generalized Autoregressive Conditional Heteroskedastistiy) provides better and more acceptable outputs than SARIMA. Keywords: SARIMA, ARCH, GARCH, Exchange Rate JEL Classifications : C22, C32, E31, E32
