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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
David Chappell,LIndsay Chant The Institute of East and West Studies 1998 Global economic review Vol.27 No.3
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.