Comparative Analysis of forecasting exchange rate using ARCH and GARCH Models: A Case Study of China

Qiqi Zhang (), Jianing Pan, Jiahao Geng and Xun Zhu
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Qiqi Zhang: University of Birmingham, College of Engineering and Physical Science
Jianing Pan: School of Ningbo Foreign Language
Jiahao Geng: School of Shanghai United International
Xun Zhu: School of Meihua

A chapter in Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024), 2024, pp 618-625 from Springer

Abstract: Abstract This paper is focused on two different models, which are the Auto-Regressive Conditional Heteroskedasticity Model (ARCH) and the Generalized Autoregressive Conditional Heteroskedasticity model (GARCH). Furthermore, first, this work will explain what the ARCH Model is and what the GARCH Model is. Secondly, comparing the ARCH Model to the GARCH Model to show which key benefits can help people forecast the exchange rate. After that based on some cases in China to illustrate how these two models work. Then proving the GARCH Model is more useful than the ARCH model when the GARCH Model connects with another model.

Keywords: GARCH Model; ARCH Model; China; exchange rate (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-408-2_69

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DOI: 10.2991/978-94-6463-408-2_69

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