Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024)

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Comparative Analysis of forecasting exchange rate using ARCH and GARCH Models: A Case Study of China

Authors
Qiqi Zhang1, *, Jianing Pan2, Jiahao Geng3, Xun Zhu4
1College of Engineering and Physical Science, University of Birmingham, Birmingham, B15 2TT, UK
2School of Ningbo Foreign Language, Ningbo, 315121, China
3School of Shanghai United International, Shanghai, 200124, China
4School of Meihua, Jiangsu, 215311, China
*Corresponding author. Email: qxz330@student.bham.ac.uk
Corresponding Author
Qiqi Zhang
Available Online 7 May 2024.
DOI
10.2991/978-94-6463-408-2_69How to use a DOI?
Keywords
GARCH Model; ARCH Model; China; exchange rate
Abstract

This paper is focused on two different models, which are the Auto-Regressive Conditional Heteroskedasticity Model (ARCH) and the Generalized Autoregressive Conditional Heteroskedasticity model (GARCH). Furthermore, first, this work will explain what the ARCH Model is and what the GARCH Model is. Secondly, comparing the ARCH Model to the GARCH Model to show which key benefits can help people forecast the exchange rate. After that based on some cases in China to illustrate how these two models work. Then proving the GARCH Model is more useful than the ARCH model when the GARCH Model connects with another model.

Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024)
Series
Advances in Economics, Business and Management Research
Publication Date
7 May 2024
ISBN
10.2991/978-94-6463-408-2_69
ISSN
2352-5428
DOI
10.2991/978-94-6463-408-2_69How to use a DOI?
Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Qiqi Zhang
AU  - Jianing Pan
AU  - Jiahao Geng
AU  - Xun Zhu
PY  - 2024
DA  - 2024/05/07
TI  - Comparative Analysis of forecasting exchange rate using ARCH and GARCH Models: A Case Study of China
BT  - Proceedings of the 9th International Conference on Financial Innovation and Economic Development (ICFIED 2024)
PB  - Atlantis Press
SP  - 618
EP  - 625
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-408-2_69
DO  - 10.2991/978-94-6463-408-2_69
ID  - Zhang2024
ER  -