Forecasting Foreign Exchange Rates of Different Countries using Non Linear Models

Boina Jhansi Rani; Dr. S. A. Jyothi Rani

Authors

Boina Jhansi Rani
Dr. S. A. Jyothi Rani

forex, forecasting, ARCH, GRACH

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. This paper attempts to examine the performance of ARCH/GARCH model in forecasting the currencies traded in Indian foreign exchange markets. Study the Forecasting value of next 5 years exchange rates USD American dollar, GBP British Pound, CHF Swiss Franc and JPY Japanese JPY currencies with INR Indian data from that investigates the behavior of daily exchange rates between USD/INR, GBP/INR, CHF/INR and JPY/INR.

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How to Cite

Forecasting Foreign Exchange Rates of Different Countries using Non Linear Models. (2023). Global Journal of Science Frontier Research, 22(F5), 29-38. https://journalofscience.org/index.php/GJSFR/article/view/102581

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