RESULTS OF INTERBANK EXCHANGE RATES FORECASTING USING STATE SPACE MODEL | Zendy

Muhammad Kashif | Zendy; Islam-ud-Din Shehzad | Zendy; Saba Bokhari | Zendy; Niyyar Munir | Zendy

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RESULTS OF INTERBANK EXCHANGE RATES FORECASTING USING STATE SPACE MODEL

Author(s) -

Muhammad Kashif,

Islam-ud-Din Shehzad,

Saba Bokhari,

Niyyar Munir

Publication year - 2008

Publication title -

pakistan journal of statistics and operation research

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.354

H-Index - 15

eISSN - 2220-5810

pISSN - 1816-2711

DOI - 10.18187/pjsor.v4i2.54

Subject(s) - autoregressive integrated moving average , econometrics , autoregressive conditional heteroskedasticity , state space , exchange rate , state space representation , us dollar , mathematics , interbank lending market , space (punctuation) , economics , statistics , interest rate , computer science , time series , finance , volatility (finance) , algorithm , operating system

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.

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