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http://dx.doi.org/10.7465/jkdi.2016.27.6.1547

Time series models based on relationship between won/dollar and won/yen exchange rate  

Lee, Hoonja (Department of Data Information, Pyeongtaek University)
Publication Information
Journal of the Korean Data and Information Science Society / v.27, no.6, 2016 , pp. 1547-1555 More about this Journal
Abstract
The variability of exchange rate influences on the various aspect, especially economics, social phenomenon, industry, and culture of the country. In this article, time series model that won/yen exchange rate can be explained by won/dollar exchange rate has been studied. Daily exchange rate data have been used from January 1, 1999 to December 31, 2015. The daily data divided into two period based on the world financial crisis, September 13, 2008. The first period was January 1, 1999 through September 12, 2008 and the second period was October 1, 2008 through December 31, 2015. The AR+IGARCH (1, 1) model has been used for analyzing the variability of exchange rate. In both first period and second period, the estimation of won/yen exchange rate are somewhat underestimated compared with the actual value.
Keywords
Exchange rate; GARCH model; IGARCH model; time series model; variability;
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Times Cited By KSCI : 4  (Citation Analysis)
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