Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis.Research on the exchange rate volatility and dynamic conditional correlation of African currencies/financial markets interdependence appears to be limited.  In this paper, we employ GARCH models to characterize the exchange rate volatility of eight major African currencies.  The variation of interdependence with respect to time is described using the DCC-GARCH model. 
GARCH
The variation of interdependence with respect to time is described using the DCC-GARCH model. 
DCC-GARCH