COMPARSION OF MARKOV SWITCHING AUTOREGRESIVE AND SELF-EXCITING THRESHOLD AUTOREGRESIVE MODELS FOR FLUCTUATIONS OF EXCHANGE RATE OF IRAN

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MOSTAFAEI H.R.; SAFAEI M.

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Paper Information

Journal: JOURNAL OF STATISTICAL SCIENCES Year:2010 | Volume:3 | Issue:2 Page(s): 173-184

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Title

COMPARSION OF MARKOV SWITCHING AUTOREGRESIVE AND SELF-EXCITING THRESHOLD AUTOREGRESIVE MODELS FOR FLUCTUATIONS OF EXCHANGE RATE OF IRAN

Author(s)

MOSTAFAEI H.R. | SAFAEI M. | Issue Writer Certificate

Keywords

MARKOV SWITCHING AUTOREGRESSIVE MODELQ3

SELF-EXCITING THRESH-OLD AUTOREGRESSIVE MODELQ3

FLUCTUATIONS OF IRAN’S EXCHANGE RATEQ3

Abstract

In early 2002, the enforcement on the policy unification of exchange rate caused dramatic decrease in into nominal price of Iran’s Rial against U.S. dollar per on unit. Thus, due to the existence of great and sudden changes; it is impossible to use the linear time series for modeling the fluctuations of the rate of Iran’s Rial change against the U.S. dollar per on unit. In this paper we compare Self-Exciting threshold autoregressive and MARKOV SWITCHING AUTOREGRESSIVE MODEL have been compared. Then it will be show that only the MARKOV SWITCHING AUTOREGRESSIVE MODEL being able to display the behaviors of the rate of iran’s rial change against the u.s. dollar per on unit.

Cites

MODELING REAL EXCHANGE RATE IN IRAN USING MARKOV SWITCHING AUTOREGRESSIVE MODEL

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APA: Copy

MOSTAFAEI, H.R., & SAFAEI, M.. (2010). COMPARSION OF MARKOV SWITCHING AUTOREGRESIVE AND SELF-EXCITING THRESHOLD AUTOREGRESIVE MODELS FOR FLUCTUATIONS OF EXCHANGE RATE OF IRAN. JOURNAL OF STATISTICAL SCIENCES, 3(2), 173-184. SID. https://sid.ir/paper/124070/en

Vancouver: Copy

MOSTAFAEI H.R., SAFAEI M.. COMPARSION OF MARKOV SWITCHING AUTOREGRESIVE AND SELF-EXCITING THRESHOLD AUTOREGRESIVE MODELS FOR FLUCTUATIONS OF EXCHANGE RATE OF IRAN. JOURNAL OF STATISTICAL SCIENCES[Internet]. 2010;3(2):173-184. Available from: https://sid.ir/paper/124070/en

IEEE: Copy

H.R. MOSTAFAEI, and M. SAFAEI, “COMPARSION OF MARKOV SWITCHING AUTOREGRESIVE AND SELF-EXCITING THRESHOLD AUTOREGRESIVE MODELS FOR FLUCTUATIONS OF EXCHANGE RATE OF IRAN,” JOURNAL OF STATISTICAL SCIENCES, vol. 3, no. 2, pp. 173–184, 2010, [Online]. Available: https://sid.ir/paper/124070/en

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