Conditional Heteroscedasticity: GARCH model with application  to interest rate in Ghana (2003:01 – 2013:12).

dc.contributor.author	Akuffo, Buckman
dc.contributor.author	Ampaw, Enock Mintah
dc.contributor.author	Lartey, Samuel
dc.date.accessioned	2025-01-20T13:26:31Z
dc.date.available	2025-01-20T13:26:31Z
dc.date.issued	2014
dc.identifier.issn	2225-0522
dc.identifier.uri	http://ir.ktu.edu.gh/xmlui/handle/123456789/255
dc.description.abstract	Abstract The development of time series model for analysis has seen a major patronage in recent times. This can mainly be attributed to the precision that is associated with these models and hence its dependence in the field of finance, statistics and economics. The theory of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) was explored and monthly interest rate of Ghana from 2003:01 to 2013:12 was applied. The results shows that the best GARCH model to adequately capture the volatility in interest rest is the GARCH (1, 2). The estimated model was used to forecast interest rate for a year in Ghana and the result shows that interest rate is predicted not to hit above 30% by the end of 2014.	en_US
dc.publisher	Mathematical Theory and Modeling	en_US
dc.subject	Autocorrelation, Conditional, GARCH, heteroscedasticity, and volatility.	en_US
dc.title	Conditional Heteroscedasticity: GARCH model with application to interest rate in Ghana (2003:01 – 2013:12).	en_US
dc.type	Article	en_US