FORECASTING EXCHANGE RATE WITH ARTIFICIAL NEURAL NETWORK (ANN) AND AUTOREGRESSIVE INTEGRATED MOVING AVERAGE PROCESS (ARIMA)

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ZARRA NEZHAD M.; FEGHH MAJIDI ALI; REZAEI ROUH ELAH

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Journal: Journal of Quantitative Economics Year:2009 | Volume:5 | Issue:4 (19) Page(s): 107-130

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Information Journal Paper

Title

FORECASTING EXCHANGE RATE WITH ARTIFICIAL NEURAL NETWORK (ANN) AND AUTOREGRESSIVE INTEGRATED MOVING AVERAGE PROCESS (ARIMA)

Author(s)

ZARRA NEZHAD M. | FEGHH MAJIDI ALI | REZAEI ROUH ELAH | Issue Writer Certificate

Keywords

AUTOREGRESSIVE INTEGRATED MOVING AVERAGE PROCESS (ARIMA)Q2

ARTIFICIAL NEURAL NETWORK (ANN)Q3

Abstract

One of the traditional methods for forecasting is time series analyzing, which based on tow assumption: stationary and linearity. There is Suspicion to working by the traditional models. One of the substitute methods is Artificial Neural Network (ANN) which sometimes shows good potential ability for forecasting time series. In this paper, after reviewing the recent studies on ability of Autoregressive Integrated Moving Average Process (ARIMA) and ANN, tow models for forecasting the exchange rate between march 2006 and February 2009 in Iran are compared. The results show that ANN has a better estimate than ARIMA. In this research, the MATLAB and Central bank data are utilized.

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APA: Copy

ZARRA NEZHAD, M., FEGHH MAJIDI, ALI, & REZAEI, ROUH ELAH. (2009). FORECASTING EXCHANGE RATE WITH ARTIFICIAL NEURAL NETWORK (ANN) AND AUTOREGRESSIVE INTEGRATED MOVING AVERAGE PROCESS (ARIMA). JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW), 5(4 (19)), 107-130. SID. https://sid.ir/paper/110837/en

Vancouver: Copy

ZARRA NEZHAD M., FEGHH MAJIDI ALI, REZAEI ROUH ELAH. FORECASTING EXCHANGE RATE WITH ARTIFICIAL NEURAL NETWORK (ANN) AND AUTOREGRESSIVE INTEGRATED MOVING AVERAGE PROCESS (ARIMA). JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW)[Internet]. 2009;5(4 (19)):107-130. Available from: https://sid.ir/paper/110837/en

IEEE: Copy

M. ZARRA NEZHAD, ALI FEGHH MAJIDI, and ROUH ELAH REZAEI, “FORECASTING EXCHANGE RATE WITH ARTIFICIAL NEURAL NETWORK (ANN) AND AUTOREGRESSIVE INTEGRATED MOVING AVERAGE PROCESS (ARIMA),” JOURNAL OF QUANTITATIVE ECONOMICS (QUARTERLY JOURNAL OF ECONOMICS REVIEW), vol. 5, no. 4 (19), pp. 107–130, 2009, [Online]. Available: https://sid.ir/paper/110837/en

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