AN EVALUATION OF REAL EFFECTIVE EXCHANGE RATE FORECASTING WITH ARCH AND GARCH MODELS: THE CASE OF TURKEY

The globalization emerging in the post-World War II increases integration of microeconomic economic players into international trade and financial system. Hence, exchange rates gain importance for decision-making. dismissal Bretton Woods agreement 1973 caused governments to implement flexible rate regime. Therefore, reliable forecasting has developing countries having structural problems underdeveloped systems. Moreover, is more complicated during Covid-19 pandemic. This study aims at investigating real effective pandemic (2019M12-2021M08) by comparing forecast power ARCH GARCH models. analysis findings demonstrate that ARIMA(1,1,1) - ARCH(2) GARCH(2,1) models have a slight difference are best accuracy. According findings, policy-makers must decide on model