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...

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Main Authors:	Hamidreza Mostafaei, Maryam Safaei
Format:	Article
Language:	English
Published:	Universiti Kebangsaan Malaysia 2012
Online Access:	http://journalarticle.ukm.my/3939/ http://journalarticle.ukm.my/3939/ http://journalarticle.ukm.my/3939/1/14%2520Hamidreza.pdf

id	ukm-3939
recordtype	eprints
spelling	ukm-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
repository_type	Digital Repository
institution_category	Local University
institution	Universiti Kebangasaan Malaysia
building	UKM Institutional Repository
collection	Online Access
language	English
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.
format	Article
author	Hamidreza Mostafaei, Maryam Safaei,
spellingShingle	Hamidreza Mostafaei, Maryam Safaei, Point forecast markov switching model for U.S. Dollar/ Euro exchange rate
author_facet	Hamidreza Mostafaei, Maryam Safaei,
author_sort	Hamidreza Mostafaei,
title	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_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_sort	point forecast markov switching model for u.s. dollar/ euro exchange rate
publisher	Universiti Kebangsaan Malaysia
publishDate	2012
url	http://journalarticle.ukm.my/3939/ http://journalarticle.ukm.my/3939/ http://journalarticle.ukm.my/3939/1/14%2520Hamidreza.pdf
first_indexed	2023-09-18T19:40:10Z
last_indexed	2023-09-18T19:40:10Z
_version_	1777405536920141824

Point forecast markov switching model for U.S. Dollar/ Euro exchange rate

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