Journal of Artificial Intelligence and Big Data

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Nigeria Exchange Rate Volatility: A Comparative Study of Recurrent Neural Network LSTM and Exponential Generalized Autoregressive Conditional Heteroskedasticity Models

Table 3.

EGARCH (1,1) models Fitted for Euro, Pound Sterling and US Dollars.


Particulars	Euro	Pound Sterling	US Dollars

Variable	Coef. (p-value)	Coef. (p-value)	Coef. (p-value)
Constant	4.634 (0.000)	11.341 (0.000)	7.523 (0.000)
1 ^st Lag Order	-0.765 (0.000)	-2.112 (0.000)	3.244 (0.000)
2^nd Lag Order	-0.513 (0.000)	-1.763 (0.000)	-2.332 (0.000)
3^rd Lag Order	-0.582 (0.000)	-0.352 (0.000)	3.774 (0.000)
4^th Lag Order	-0.342 (0.000)	-0.996 (0.000)	3.798 (0.000)

	Performance Criteria
R-squared	0.812191	0.820555	0.887292
Loglikelihood	-1387.898	-1313.194	-1230.568
Durbin-Watson	2.024220	2.033607	2.018676
AIC	10.66588	10.09344	9.460294
SIC	10.72051	10.14807	9.514922

Note: AIC is the Akaike info criterion and SC is the Schwarz criterion