文章基本信息

标题：Forecasting The Exchange Rate (IDR) of US Dollar (USD) Using Locally Stationary Wavelet
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作者：Dina Tri Utari
期刊名称：Jurnal Eksakta
印刷版ISSN：1411-1047
电子版ISSN：2503-2364
出版年度：2018
卷号：18
期号：2
页码：145-154
DOI：10.20885/eksakta.vol18.iss2.art6
出版社：Jurnal Eksakta
摘要：Currency exchange rate of a country to the other countries is fluctuative. The movement of the exchange rate affects the countryâ€™s economy. The exchange rate can change any time according to the market mechanism, therefore currency exchange predictions is required to determine future economic policy. Based on the impact of exchange rate in economy fluctuations, an accurate model is needed to determine the exchange rate movements. In this case, the model is Locally Stationary Wavelet (LSW). This model combines stocastic process class based on wavelet non decimated. LSW model can catch most of the information in time series data. Based on the application of LSW mtehod on the data of the rupiah against the US dollar for the period April 2016 - March 2017, it can be concluded that model provides forecasting results approaching actual data therefore it can be used for forecasting exchange rates. The value of the mean absolute percentage error (MAPE) is 0,1201293%.
关键词：exchange rate;discrete wavelet transforms;LSW;forecasting