ACADSTAFF UGM
| Title | : | Exchange Rates Forecasting UsingVariable Length Moving Average - NARX |
| Author | : |
Dr. Agus Sihabuddin, S.Si., M.Kom. (1) Prof. Drs. Subanar, Ph.D. (2) Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (3) Drs. Edi Winarko, M.Sc.,Ph.D. (4) |
| Date | : | 0 2015 |
| Keyword | : | Forecasting,Exchange rate,NAR,NARX Forecasting,Exchange rate,NAR,NARX |
| Abstract | : | This paper evaluates whether the variable-lengthmoving average (VMA) as input in NARX outperform theunivariate exchange rate forecasting performance. Six majorrates of monthly data from January 1975 to April 2014(USDAUD, USDCAD, USDEUR, USDGBP, USDJPY andUSDCHF) are used to test the proposed model with a (1,5,0)VMA rule.We evaluate that the VMA can be used as input for NARX modeland the forecasting accuracy is outperform the NAR univariatemodel with 19.97% improvement on Dstat and 3.17%improvement on MSE.Keywords— forecasting, major exchange rates, VMA, NAR,NARX |
| Group of Knowledge | : | Ilmu Komputer |
| Original Language | : | English |
| Level | : | Internasional |
| Status | : |
Published
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