EXCHANGE RATEPREDICTION USING SINGULAR SPECTRUM ANALYSIS

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YARMOHAMMADI MASOUD; MAHMOUDVAND RAHIM

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN Year:2016 | Volume:5 | Issue:18 Page(s): 133-146

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Title

EXCHANGE RATEPREDICTION USING SINGULAR SPECTRUM ANALYSIS

Author(s)

YARMOHAMMADI MASOUD | MAHMOUDVAND RAHIM | Issue Writer Certificate

Keywords

TIME SERIESQ2

SINGULAR SPECTRUM ANALYSISQ1

EXCHANGE RATESQ2

ARIMA MODELQ2

Abstract

The effects of foreign EXCHANGE RATES on economic variables in every countries show the importance of modeling and prediction of EXCHANGE RATES. In this paper, SINGULAR SPECTRUM ANALYSIS (SSA), which is a non-parametric technique for TIME SERIES analysis, are used for modeling and predicting daily exchange rate US dollar when compares with Iranian Rials (USD/IRR) during June 2013 to Sep. 2015. ARIMA MODEL is used as a benchmark to assess the performance of SSA. In order to find the best ARIMA MODEL, R package auto.arima is used. In addition, errors in sample and out of samples for short, medium and long term forecasts are considered to compare the capabilities of models with together. Results indicate that SSA is able to be used for modeling exchange rate data.

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APA: Copy

YARMOHAMMADI, MASOUD, & MAHMOUDVAND, RAHIM. (2016). EXCHANGE RATEPREDICTION USING SINGULAR SPECTRUM ANALYSIS. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 5(18 ), 133-146. SID. https://sid.ir/paper/226549/en

Vancouver: Copy

YARMOHAMMADI MASOUD, MAHMOUDVAND RAHIM. EXCHANGE RATEPREDICTION USING SINGULAR SPECTRUM ANALYSIS. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2016;5(18 ):133-146. Available from: https://sid.ir/paper/226549/en

IEEE: Copy

MASOUD YARMOHAMMADI, and RAHIM MAHMOUDVAND, “EXCHANGE RATEPREDICTION USING SINGULAR SPECTRUM ANALYSIS,” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 5, no. 18 , pp. 133–146, 2016, [Online]. Available: https://sid.ir/paper/226549/en

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