Record Details

RESULTS OF INTERBANK EXCHANGE RATES FORECASTING USING STATE SPACE MODEL

Pakistan Journal of Statistics and Operation Research

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Field Value
 
Title RESULTS OF INTERBANK EXCHANGE RATES FORECASTING USING STATE SPACE MODEL
 
Creator Kashif, Muhammad
Shehzad, Islam-ud-Din
Bokhari, S.M.
Munir, Niyyar
 
Subject

 
Description This study evaluates the performance of three alternative models for forecasting daily interbank exchange rate of U.S. dollar measured in Pak rupees. The simple ARIMA models and complex models such as GARCH-type models and a state space model are discussed and compared. Four different measures are used to evaluate the forecasting accuracy. The main result is the state space model provides the best performance among all the models.
 
Publisher College of Statistical and Actuarial Sciences
 
Contributor
 
Date 2008-07-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://www.pjsor.com/index.php/pjsor/article/view/54
10.18187/pjsor.v4i2.54
 
Source Pakistan Journal of Statistics and Operation Research; Vol 4. No. 2, July 2008; 111-119
2220-5810
1816-2711
 
Language eng
 
Relation http://www.pjsor.com/index.php/pjsor/article/view/54/33