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This paper introduces a GARCH model, with a flexible parametric error distribution based on the exponential generalized beta (EGB) family of distributions. Applied to daily US dollar exchange rate data for six major currencies, evidence based on a comparison of actual and predicted higher\u2010order moments and goodness\u2010of\u2010fit tests favours the GARCH\u2010EGB2 model over more conventional GARCH\u2010<jats:italic>t<\/jats:italic> and EGARCH\u2010<jats:italic>t<\/jats:italic> model alternatives, particularly for exchange rate data characterized by skewness. 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