A multivariate GARCH model with time-varying correlations : what do inflation data show in Ethiopia?
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Publisher
Springer
Abstract
Please read abstract in the article.
Description
DATA AVAILABILITY : The datasets used during the current study are available from the corresponding author upon reasonable request. The dataset was taken from NBE. There are no restrictions on the availability, and the investigators are willing to provide the data.
Keywords
Inflation, Ethiopia, Baba, Engle, Kraft, and Kroner (BEKK), Dynamic conditional correlation (DCC), Generalized autoregressive conditional heteroscedasticity (GARCH), Consumer Price Index (CPI), National Bank of Ethiopia (NBE), Exchange rate, Food Price Index (FPI), Non-Food Price Index (NFPI), Multivariate GARCH
Sustainable Development Goals
SDG-01: No poverty
SDG-08: Decent work and economic growth
SDG-08: Decent work and economic growth
Citation
Likassa, H.T., Chen, DG., Nadarajah, S. et al. A Multivariate GARCH Model with Time-Varying Correlations: What Do Inflation Data Show in Ethiopia? Computational Economics (2025). https://doi.org/10.1007/s10614-025-10951-y.