The paradox of dollar during global financial crisis: An application of ARIMA and ARCH models

Abstract

The global financial crisis has lent new impetus to discussions of the Dollar behavior during the2008 crisis, the appreciation of dollar make a paradox Whether the crisis has an impact on the Dollar exchange rate. This article aims to analyses the volatility of the Dollar exchange rate during 2008 financial crisis using various volatility models such as Autoregressive Integrated Moving Average Autoregressive Integrated Moving Average and Autoregressive Conditional Heteroskedasticity models During the period from (01- 01- 2005to 01- 12 -2014); the results shows that there is a positive statistically significant effect of the crisis on volatility of dollar exchange rate.