RESULTS OF INTERBANK EXCHANGE RATES FORECASTING USING STATE SPACE MODEL

Muhammad Kashif, Islam-ud-Din Shehzad, S.M. Bokhari, Niyyar Munir

Abstract


This study evaluates the performance of three alternative models for forecasting daily interbank exchange rate of U.S. dollar measured in Pak rupees. The simple ARIMA models and complex models such as GARCH-type models and a state space model are discussed and compared. Four different measures are used to evaluate the forecasting accuracy. The main result is the state space model provides the best performance among all the models.

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DOI: http://dx.doi.org/10.18187/pjsor.v4i2.54

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Title

RESULTS OF INTERBANK EXCHANGE RATES FORECASTING USING STATE SPACE MODEL

Keywords


Description

This study evaluates the performance of three alternative models for forecasting daily interbank exchange rate of U.S. dollar measured in Pak rupees. The simple ARIMA models and complex models such as GARCH-type models and a state space model are discussed and compared. Four different measures are used to evaluate the forecasting accuracy. The main result is the state space model provides the best performance among all the models.

Date

2008-07-01

Identifier


Source

Pakistan Journal of Statistics and Operation Research; Vol 4. No. 2, July 2008



Print ISSN: 1816-2711 | Electronic ISSN: 2220-5810