A boost in exchange rate forecasting: qualitative variables, technical indicators and parameters selection (original) (raw)
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IAEME PUBLICATION, 2021
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APPLICATION OF TIME SERIES MODELS IN FORECASTING EXCHANGE RATE(2).docx
The purpose of this study is to evaluate the impact of time series models in forecasting exchange rate. The study determined the time series model that is reliable for predicting the exchange rates of foreign currencies like Dollar, Great Britain Pound and Japanese Yen in Nigeria Naira by determining some salient features about the exchange rate data. The model performance indices were calculated and the graphical implications were also displayed. Together, this study has shown that the linear model and exponential smoothing model at any level of damping factor are not suitable for predicting the exchange rate of foreign currencies like Dollar Great Britain Pound and Japanese Yen in Nigeria Naira. While Naive Model and 5-PD Moving Average are the best for forecasting these but the choice of selection still depends on the model performance index put into use.
Exchange Rate Prediction Redux: New Models, New Data, New Currencies
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The Random Behavior of Flexible Exchange Rates: Implications for Forecasting
Journal of International Business Studies, 1975
This article explores the forecasting accuracy of the "random walk" and other models of exchange rate behavior. Under present conditions of floating exchange rates, it is argued, anticipations of future demand and supply determine fluctuations in exchange rates. The authors present results consistent with the notion that, for the world's major currencies, the foreign exchange market is an "efficient market" and exchange rate forecasting is not profitable. I Palgrave Macmillan Journals is collaborating with JSTOR to digitize, preserve, and extend access to Journal of International Business Studies www.jstor.org ® the International Money Market in Chicago, where private individuals of reasonable means now can buy and sell standardized future contracts in major currencies. Formerly, pressure from the Federal Reserve Board and occasional operational problems effectively prevented U.S. banks from accommodating individuals who wished to "take a view" on the future of a currency. These developments, plus the string of spectacular losses incurred by the foreign exchange trading operations of major banks which came to light during 1974, in combination with the fundamental changes in the international monetary environment that have occurred since the late 1960s, revive interest in the possibility of successfully predicting exchange rates. In general, forecasting economic data requires the presumption of a set of relationships among variables, one of which is the variable to be forecast.1 Economic forecasting, in other words, requires a model. Such a model may be in unspecified form in the back of the mind of a person who has been a long-term observer of the processes which generate these data. In many forecasting methods the relationships comprising the model are stated in explicit mathematical terms, as in the case of econometric models. Forecasting techniques based on formal models may rely on an assumed sequence of causal relationships (e.g.,
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