Open AccessForeign Currency Prognostication: Diverse Tests for Germany
Author(s) -
Augustine C. Arize,
Charles J. Berendt,
Giuliana Campanelli Andreopoulos,
Ioannis N. Kallianiotis,
John Malindretos
Publication year - 2017
Publication title -
international journal of financial research
Language(s) - English
Resource type - Journals
eISSN - 1923-4031
pISSN - 1923-4023
DOI - 10.5430/ijfr.v8n3p111
Subject(s) - currency , mean squared error , parametric statistics , forecast error , econometrics , exchange rate , variety (cybernetics) , statistics , foreign exchange , parametric model , mean squared prediction error , computer science , mathematics , economics , macroeconomics , monetary economics
This paper uses a large variety of different models and examines the predictive performance of these exchange rate models by applying parametric and non-parametric techniques. For forecasting, we will choose that predictor with the smallest root mean square forecast error (RMSE). The results show that the better models are in equations (3), (10), (17), and (18), although none gives a perfect forecast. At the end, error correction versions of the models will be fit so that plausible long-run elasticities can be imposed on the fundamental variables of each model.