%0 Journal Article
%T Evaluation of GARCH model Adequacy in forecasting Non-linear economic time series data
%A M.O. Akintunde
%A P.M. Kgosi
%A D.K. Shangodoyin
%J Journal of Computations & Modelling
%D 2013
%I Scienpress Ltd
%X To date in literature, GARCH model has been described not suitable for non-linear foreign exchange series and therefore this paper proposes an Augmented GARCH model that could capture both linear and non-linear behavior of data. The properties of this new model is derived and found to have a minimum variance compared with GARCH model. We employ the use of Brock-Dechert-Scheinkman (BDS) test statistic to confirm the suitability of GARCH model on the data; the new methodology proposed is illustrated with foreign exchange rate data from Great Britain (Pound) and Botswana (Pula) against United States of America (Dollar).
%U http://www.scienpress.com/Upload/JCM/Vol%203_2_1.pdf