Chappell, David; Chant, Lindsay - In: Global Economic Review 27 (1998) 3, pp. 65-75
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...
