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ON THE RELATIONSHIP BETWEEN INFLATION AND UNCERTAINTY: AN APPLICATION OF THE GARCH FAMILY MODELS


Dr. Ahmed Mohammed Khater Arabi

Assistant professor, Department of Econometrics and Social Statistics, Faculty of Economic, University of Bakht Alruda, Alduiem, Sudan


ABSTRACT

This paper examines the relationship between inflation and inflation uncertainty in a dynamic framework for Sudan by using monthly data over the period July 1995–December 2012. The Generalized autoregressive conditional heteroscedasticity (GARCH) and the exponential generalized autoregressive conditional heteroscedasticity (EGARCH) models were used to capture the stochastic variation and asymmetries in the economic instruments. The results indicate a positive relationship between past inflation and current uncertainty. Furthermore Granger causality test shows that there is sufficient empirical evidence that higher inflation rate level will result in higher future inflation uncertainty and higher level of inflation uncertainty will lead to lower future inflation rate.


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