Bala, Dahiru A.; Asemota, Joseph O. - In: CBN Journal of Applied Statistics 04 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...
