FORECAST？NG OF EXCHANGE RATE MARKET IN MONGOL？A W？TH GENERAL？ZED AUTOREGRESS？VE COND？T？ONALLY HETEROSCEDAST？C MODELS

The object of this study is to reveal analytically the effect of exchange rate volatility and macroeconomic variable effects on the exchange rate in Mongolia. This study forecasted the exchange rate by looking at the basic concepts of the exchange rate and macro variables and to estimate the changes in the exchange rate. Exchange rate and other macroeconomics variables in monthly and seasonaly are collected and analyzed by ARIMA, SARIMA, and SVAR models. Moroever, the best result of forecasts will be selected and given some month forecasts. Instead of forecast, fan chart technique will be used to show the highest and the lowest prediction of exchange rate. In addition, GARCH families model used to determine daily data and found to be the most suitable model