Forecasting Foreign Exchange Rates of Different Countries using Non Linear Models

Abstract

This Paper investigates the behavior of daily exchange rates between USD INR GBP INR CHF INR and JPY INR This Paper attempts to examine the performance of ARCH GARCH model in forecasting the currencies traded in Indian foreign exchange markets The accuracy of the forecast is compared with Mean Error ME Mean Absolute Error MAE Mean Percentage error MPE Mean Absolute Percentage Error MAPE and Root Mean Squared Error RMSE Mean Absolute Square Error Study the performance indicators of model by using AIC and BIC values