TY  - JOUR
AB  - Purpose The paper aims to analyse the extent of volatility and generating forecasts of exchange rates of British pound and Indian rupees in US terms.Design/methodology/approach This study applies different combinations of GARCH and EGARCH models suggested in the Econometric literature to capture the extent of volatility. The forecast of exchange rates of British Pound and Indian Rupees in US terms are generated applying artificial neural network (ANN) technique using different combination of networks with hyperbolic tangent function at hidden and output stage of the model.Findings The presence of volatility depicts that there is noise and chaos in the forex market. Prediction of exchange rate of the respective currencies underscores that exchange rates will increase marginally in near future.Practical Implications The results proposed in this study will be benchmark for the hedgers, investors, bankers, practitioners and economists to foresee the exchange rate in the presence of volatility and design policies accordingly.Originality/value In literature, no study has applied ANN for forecasting exchange rate after measuring the extent of volatility. The present study is a unique contribution in the existing pool of literature to forecasts the concerned variable(s) after ascertaining the noise and chaos in the data by applying GARCH family models.
VL  - 11
IS  - 2
SN  - 1746-5664
DO  - 10.1108/JM2-04-2014-0029
UR  - https://doi.org/10.1108/JM2-04-2014-0029
AU  - Gupta Sanjeev
AU  - Kashyap Sachin
PY  - 2016
Y1  - 2016/01/01
TI  - Modelling volatility and forecasting of exchange rate of British pound sterling and Indian rupee
T2  - Journal of Modelling in Management
PB  - Emerald Group Publishing Limited
SP  - 389
EP  - 404
Y2  - 2024/04/25
ER  -