The first objective of this empirical study is to examine the unbiased forward rate hypothesis(UFH) of won-dollar futures market in Korean foreign exchange market. And the second purpose of this study is to analyze whether the risk premium exists in the futures market.
The most of the studies have examined the unbiased forward rate hypothesis(UFH) using the major international currencies for the the efficiency of foreign exchange market. But there have been few studies in the field to test the efficiency of Korean foreign exchange market.
In this study, the UFH & the risk premium is tested by dividing the terms into two subperiods and using the Level Variable Model , the Change Rate Model and the GARH in mean Change Rate Model.
