文章基本信息

标题：A Second Correlation Method for Multivariate Exchange Rates Forecasting
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作者：Agus Sihabuddin ; Subanar ; Dedi Rosadi 等
期刊名称：International Journal of Advanced Computer Science and Applications(IJACSA)
印刷版ISSN：2158-107X
电子版ISSN：2156-5570
出版年度：2014
卷号：5
期号：7
DOI：10.14569/IJACSA.2014.050705
出版社：Science and Information Society (SAI)
摘要：Foreign exchange market is one of the most complex dynamic market with high volatility, non linear and irregularity. As the globalization spread to the world, exchange rates forecasting become more important and complicated. Many external factors influence its volatility. To forecast the exchange rates, those external variables can be used and usually chosen based on the correlation to the predicted variable. A new second correlation method to improve forecasting accuracy is proposed. The second correlation is used to choose the external variable with different time interval. The proposed method is tested using six major monthly exchange rates with Nonlinear Autoregressive with eXogenous input (NARX) compared with Nonlinear Autoregressive (NAR) for model benchmarking. We evaluated the forecasting accuracy of proposed method is increasing by 16.8% compared to univariate NAR model and slight better than linear correlation on average for Dstat parameter and gives almost no improvement for MSE.
关键词：thesai; IJACSA; thesai.org; journal; IJACSA papers; forecasting; foreign exchange; NARX; second correlation