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

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  • David Chappell
  • Lindsay Chant

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.

Suggested Citation

  • David Chappell & Lindsay Chant, 1998. "A non-linear time series model for the South Korean Won/British pound exchange rate : 1.1.97-9.30.98," Global Economic Review, Taylor & Francis Journals, vol. 27(3), pages 65-75.
    • Handle: RePEc:taf:glecrv:v:27:y:1998:i:3:p:65-75
    DOI: 10.1080/12265089808449741
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    References listed on IDEAS

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