A Comparison between Neural Networks and GARCH Models in Exchange Rate Forecasting
Journal Title: International Journal of Academic Research in Business and Social Sciences - Year 2016, Vol 6, Issue 1
Abstract
Modeling and forecasting of dynamics nominal exchange rate has long been a focus of financial and economic research. Artificial Intelligence (IA) modeling has recently attracted much attention as a new technique in economic and financial forecasting. This paper proposes an alternative approach based on artificial neural network (ANN) to predict the daily exchange rates. Our empirical study is based on a series of daily data in Tunisia. In order to evaluate this approach, we compare it with a generalized autoregressive conditional heteroskedasticity (GARCH) model in terms of their performance. Results indicate that the proposed nonlinear autoregressive (NAR) model is an accurate and a quick prediction method. This finding helps businesses and policymakers to plan more appropriately.
Authors and Affiliations
Fahima Charef, Fethi Ayachi
Keywords
Related Articles
- EP ID EP183698
- DOI 10.6007/IJARBSS/v6-i1/1993
- Views 162
- Downloads 0
Parenting Styles for the Deaf Children in Disseminating Entrepreneurship
This study aims at examining parenting styles for the deaf children in disseminating entrepreneurship. This research employed case study approach using the semi-structured interview technique from parents of deaf childre...
The Regional Input-Output Model for East Malaysia Region: Construction and Application
This study examines the importance of regional development planning to economic growth through the construction of regional input-output table for East Malaysia. It is particularly important because only limited past stu...
Teacher-Level Factors that Influence Students’ Science and Technology Culture: HLM Analysis
It has been observed that there is an issue of declining student enrolment in science and technology at upper secondary level, as well as low performance of Malaysian students. These concerns have been recorded by Trends...
Linking Knowledge Management and Organizational Performance in Higher Education: Empirical Evidence from Jordanian Universities
The motivation behind this examination was to research the connection between Knowledge Management (KM) and Organizational Performance (OP) in Jordanian higher-education institutions (HEIs). KM forms included knowledge i...
Prospect of a Flood Micro-Insurance in Malaysia: A Survey of Literatures
There is no insurance policy in Malaysia which exclusively covers flood as a particular product. The reality of flood coverage in insurance is either it comes as a rider in fire insurance policy or as primary coverage in...