FORECASTING INFLATION BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS AND ALTERNATIVE MODELS (A COMPARATIVE STUDY)

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

MOLABAHRAMI AHMAD; KHODAVAISI HASSAN; HOSSAINI REZA

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

Journal Paper

Paper Information

Journal: JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH) Year:2013 | Volume:13 | Issue:1 Page(s): 25-46

Download Full-Text

Persian Verion

View:

1,624

Download:

Cites:

Information Journal Paper

Title

FORECASTING INFLATION BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS AND ALTERNATIVE MODELS (A COMPARATIVE STUDY)

Author(s)

MOLABAHRAMI AHMAD | KHODAVAISI HASSAN | HOSSAINI REZA | Issue Writer Certificate

Keywords

CHAOS TESTSQ2

INFLATION PREDICTIONQ2

STOCHASTIC DIFFERENTIAL EQUATIONSQ2

NEURAL NETWORKQ2

TIME SERIES MODELSQ3

Abstract

In this paper, it is tried to propose a robust model for predicting inflation in Iran among alternative models. For doing this, monthly data from April 1990 to the end of September 2009 is used. Firstly, it is tried to determine whether the CPI data is chaotic or stochastic. It is shown that it is chaotic rather than stochastic. Therefore, it is predictable. Then, a stochastic differential equation model is estimated (specifically a geometric Brownian motion) for CPI in Iran. In order to compare the prediction power of the model other alternative models of prediction like ARMA, non-linear GARCH, EGARCH, TGARCH are also used to extrapolate inflation during a six month prediction period. Based on RMSE, MAE, U-Tail, it is revealed that stochastic differential equation model is much more robust than the alternative models mentioned above.

Cites

THE EFFECT OF AN UNCERTAIN CAPITAL RETURN ON ECONOMIC GROWTH; A CASE STUDY OF IRAN

References

Cite

APA: Copy

MOLABAHRAMI, AHMAD, KHODAVAISI, HASSAN, & HOSSAINI, REZA. (2013). FORECASTING INFLATION BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS AND ALTERNATIVE MODELS (A COMPARATIVE STUDY). JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), 13(1), 25-46. SID. https://sid.ir/paper/86620/en

Vancouver: Copy

MOLABAHRAMI AHMAD, KHODAVAISI HASSAN, HOSSAINI REZA. FORECASTING INFLATION BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS AND ALTERNATIVE MODELS (A COMPARATIVE STUDY). JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH)[Internet]. 2013;13(1):25-46. Available from: https://sid.ir/paper/86620/en

IEEE: Copy

AHMAD MOLABAHRAMI, HASSAN KHODAVAISI, and REZA HOSSAINI, “FORECASTING INFLATION BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS AND ALTERNATIVE MODELS (A COMPARATIVE STUDY),” JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), vol. 13, no. 1, pp. 25–46, 2013, [Online]. Available: https://sid.ir/paper/86620/en

Related Journal Papers