Forecasting Foreign Exchange Rates of Different Countries using Non Linear Models

1
Boina Jhansi Rani
Boina Jhansi Rani
2
Dr. S. A. Jyothi Rani
Dr. S. A. Jyothi Rani
1 Osmania University

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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.

Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

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Not applicable for this article.

Boina Jhansi Rani. 2026. \u201cForecasting Foreign Exchange Rates of Different Countries using Non Linear Models\u201d. Global Journal of Science Frontier Research - F: Mathematics & Decision GJSFR-F Volume 22 (GJSFR Volume 22 Issue F5): .

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Forecasting Foreign Exchange Rates of Different Countries Using Nonlinear Models.
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GJSFR Volume 22 Issue F5
Pg. 29- 38
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Crossref Journal DOI 10.17406/GJSFR

Print ISSN 0975-5896

e-ISSN 2249-4626

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GJSFR-F Classification: DDC Code: 823.914 LCC Code: PR6052.R246
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January 19, 2023

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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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Forecasting Foreign Exchange Rates of Different Countries using Non Linear Models

Boina Jhansi Rani
Boina Jhansi Rani Osmania University
Dr. S. A. Jyothi Rani
Dr. S. A. Jyothi Rani

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