Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=53205#.VLcnW8nQrzE Author(s) Dina Rofael 1 , Rana Hosni 2 Affiliation(s) 1 Monetary Policy Department, Central Bank of Egypt, Cairo, Egypt . 2 Economics Department, Faculty of Economics and Political Science, Cairo University, Giza, Egypt . ABSTRACT The underlying study focuses on estimating and forecasting the volatility of exchange rate in Egypt based on ARCH type models and the State Space (SS) models, namely; the Stochastic Volatility (SV) and the Time-Varying Parameter (TVP) models. Moreover, the paper tests the predictive power of the conducted models to come up with a powerful technique that gives the best forward-looking stance of the exchange rate. Empirically, the paper utilizes daily exchange rate data spanning from January 2003 till June 2013. Evidently, it is found that the exchange rate returns in Egypt suffer from the vol...
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