Point forecast markov switching model for U.S. Dollar/ Euro exchange rate
This research proposes a point forecasting method into Markov switching autoregressive model. In case of two regimes, we proved the probability that h periods later process will be in regime 1 or 2 is given by steady-state probabilities. Then, using the value of h-step-ahead forecast data at time...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Universiti Kebangsaan Malaysia
2012
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| Online Access: | http://journalarticle.ukm.my/3939/1/14%2520Hamidreza.pdf |
| _version_ | 1796927948459081728 |
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| author | Hamidreza Mostafaei, Maryam Safaei, |
| author_facet | Hamidreza Mostafaei, Maryam Safaei, |
| author_sort | Hamidreza Mostafaei, |
| collection | UKM |
| description | This research proposes a point forecasting method into Markov switching autoregressive model. In case of two regimes,
we proved the probability that h periods later process will be in regime 1 or 2 is given by steady-state probabilities.
Then, using the value of h-step-ahead forecast data at time t in each regime and using steady-state probabilities, we
present an h-step-ahead point forecast of data. An empirical application of this forecasting technique for U.S. Dollar/
Euro exchange rate showed that Markov switching autoregressive model achieved superior forecasts relative to the
random walk with drift. The results of out-of-sample forecast indicate that the fluctuations of U.S. Dollar/ Euro exchange
rate from May 2011 to May 2013 will be rising. |
| first_indexed | 2024-03-06T03:51:53Z |
| format | Article |
| id | ukm.eprints-3939 |
| institution | Universiti Kebangsaan Malaysia |
| language | English |
| last_indexed | 2024-03-06T03:51:53Z |
| publishDate | 2012 |
| publisher | Universiti Kebangsaan Malaysia |
| record_format | dspace |
| spelling | ukm.eprints-39392016-12-14T06:35:22Z http://journalarticle.ukm.my/3939/ Point forecast markov switching model for U.S. Dollar/ Euro exchange rate Hamidreza Mostafaei, Maryam Safaei, This research proposes a point forecasting method into Markov switching autoregressive model. In case of two regimes, we proved the probability that h periods later process will be in regime 1 or 2 is given by steady-state probabilities. Then, using the value of h-step-ahead forecast data at time t in each regime and using steady-state probabilities, we present an h-step-ahead point forecast of data. An empirical application of this forecasting technique for U.S. Dollar/ Euro exchange rate showed that Markov switching autoregressive model achieved superior forecasts relative to the random walk with drift. The results of out-of-sample forecast indicate that the fluctuations of U.S. Dollar/ Euro exchange rate from May 2011 to May 2013 will be rising. Universiti Kebangsaan Malaysia 2012-04 Article PeerReviewed application/pdf en http://journalarticle.ukm.my/3939/1/14%2520Hamidreza.pdf Hamidreza Mostafaei, and Maryam Safaei, (2012) Point forecast markov switching model for U.S. Dollar/ Euro exchange rate. Sains Malaysiana, 41 (4). pp. 481-488. ISSN 0126-6039 http://www.ukm.my/jsm |
| spellingShingle | Hamidreza Mostafaei, Maryam Safaei, Point forecast markov switching model for U.S. Dollar/ Euro exchange rate |
| title | Point forecast markov switching model for U.S. Dollar/ Euro exchange rate |
| title_full | Point forecast markov switching model for U.S. Dollar/ Euro exchange rate |
| title_fullStr | Point forecast markov switching model for U.S. Dollar/ Euro exchange rate |
| title_full_unstemmed | Point forecast markov switching model for U.S. Dollar/ Euro exchange rate |
| title_short | Point forecast markov switching model for U.S. Dollar/ Euro exchange rate |
| title_sort | point forecast markov switching model for u s dollar euro exchange rate |
| url | http://journalarticle.ukm.my/3939/1/14%2520Hamidreza.pdf |
| work_keys_str_mv | AT hamidrezamostafaei pointforecastmarkovswitchingmodelforusdollareuroexchangerate AT maryamsafaei pointforecastmarkovswitchingmodelforusdollareuroexchangerate |