Forecasting Inflation based on Stochastic Differential Equations and Alternative Models (A Comparative Study)
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 c...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
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Tarbiat Modares University
2013-04-01
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| Series: | پژوهشهای اقتصادی |
| Subjects: | |
| Online Access: | http://ecor.modares.ac.ir/article-18-9570-en.pdf |
| _version_ | 1797803119970615296 |
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| author | Ahmad Molabahrami Hassan Khodavaisi Reza Hossaini |
| author_facet | Ahmad Molabahrami Hassan Khodavaisi Reza Hossaini |
| author_sort | Ahmad Molabahrami |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-13T05:17:05Z |
| format | Article |
| id | doaj.art-51800b2f6470486aba45d81c13231e43 |
| institution | Directory Open Access Journal |
| issn | 1735-6768 2980-7832 |
| language | fas |
| last_indexed | 2024-03-13T05:17:05Z |
| publishDate | 2013-04-01 |
| publisher | Tarbiat Modares University |
| record_format | Article |
| series | پژوهشهای اقتصادی |
| spelling | doaj.art-51800b2f6470486aba45d81c13231e432023-06-15T20:34:57ZfasTarbiat Modares Universityپژوهشهای اقتصادی1735-67682980-78322013-04-011312546Forecasting Inflation based on Stochastic Differential Equations and Alternative Models (A Comparative Study)Ahmad Molabahrami0Hassan Khodavaisi1Reza Hossaini2 M.A. in Economics, Urmia University Assistant Professor of Economics, Urmia University Ph.D. in Economics, Member of Research Committee, Agriculture Bank 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.http://ecor.modares.ac.ir/article-18-9570-en.pdfe47chaos testsinflation predictionstochastic differential equationsneural networktime series models jel classification: e37 |
| spellingShingle | Ahmad Molabahrami Hassan Khodavaisi Reza Hossaini Forecasting Inflation based on Stochastic Differential Equations and Alternative Models (A Comparative Study) پژوهشهای اقتصادی e47 chaos tests inflation prediction stochastic differential equations neural network time series models jel classification: e37 |
| title | Forecasting Inflation based on Stochastic Differential Equations and Alternative Models
(A Comparative Study) |
| title_full | Forecasting Inflation based on Stochastic Differential Equations and Alternative Models
(A Comparative Study) |
| title_fullStr | Forecasting Inflation based on Stochastic Differential Equations and Alternative Models
(A Comparative Study) |
| title_full_unstemmed | Forecasting Inflation based on Stochastic Differential Equations and Alternative Models
(A Comparative Study) |
| title_short | Forecasting Inflation based on Stochastic Differential Equations and Alternative Models
(A Comparative Study) |
| title_sort | forecasting inflation based on stochastic differential equations and alternative models a comparative study |
| topic | e47 chaos tests inflation prediction stochastic differential equations neural network time series models jel classification: e37 |
| url | http://ecor.modares.ac.ir/article-18-9570-en.pdf |
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