A non-linear time series model for the South Korean Won/British pound exchange rate: 1.1.97-9.30.98

David Chappell and Lindsay Chant
Authors registered in the RePEc Author Service: Lindsay Shutes

Global Economic Review, 1998, vol. 27, issue 3, 65-75

Abstract: We construct a non-linear time series model for the South Korean Won/British Pound exchange rate for the period 1 January 1997 to 30 September 1998. This was a period of great upheaval in the South Korean financial markets. We show that a variant of the GARCH class of models provides a good fit to the data. We use the model to produce a set of one-step-ahead exchange rate forecasts for the first ten trading days of October 1998. The model produces better forecasts than the well-known random walk model.

Date: 1998
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DOI: 10.1080/12265089808449741

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