Forecasting Foreign Exchange Rates of Different Countries using Non Linear Models
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.
