La Volatilité du Taux de change du dinar algérien

Since 1996, the Algerian Dinar exchange rate fluctuates freely according to the law of supply and demand, giving rise to an increased volatility. Failing to know the exchange rate determinant, it is imperative to apprehend its evolution. The characteristics of this evolution, including the second order dynamic, cannot be described by linear processes such as ARMA models; ARCH Model (autoregressive conditionally heteroscedastic) makes it possible. The aim of this article is the application of the ARCH type processes, with the modelling of the Algerian dinar exchange rate volatility, against the American dollar and the European currency. It is about the empirical comparison of the symmetrical and asymmetrical GARCH alternatives. One also presents the exchange rate return forecasting, and the construction of the forecasts intervals obtained by the conditional variance modelling