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Information Journal Paper

Title

MODELING AND PREDICTION IRANIAN EXCHANGE RATE BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS

Pages

  129-144

Abstract

 EXCHANGE RATE PREDICTION, as one of the main variables in macroeconomics, has been one of the aims of the economic research for a long time. For modeling and predicting exchange rate we apply STOCHASTIC DIFFERENTIAL EQUATION, specifically we use GEOMETRIC BROWNIAN MOTION (GBM) and JUMP-DIFFUSION PROCESS (MJDP) attributed to Merton. We show that the result of simulation based on GBM and MJDP outperforms linear time series models, such as ARIMA, for both in sample and out of sample predictions based on RMSE criterion.

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    APA: Copy

    KHODAVAISI, HASSAN, & MOLABAHRAMI, AHMAD. (2012). MODELING AND PREDICTION IRANIAN EXCHANGE RATE BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS. TAHGHIGHAT-E-EGHTESADI, 47(3), 129-144. SID. https://sid.ir/paper/11989/en

    Vancouver: Copy

    KHODAVAISI HASSAN, MOLABAHRAMI AHMAD. MODELING AND PREDICTION IRANIAN EXCHANGE RATE BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS. TAHGHIGHAT-E-EGHTESADI[Internet]. 2012;47(3):129-144. Available from: https://sid.ir/paper/11989/en

    IEEE: Copy

    HASSAN KHODAVAISI, and AHMAD MOLABAHRAMI, “MODELING AND PREDICTION IRANIAN EXCHANGE RATE BASED ON STOCHASTIC DIFFERENTIAL EQUATIONS,” TAHGHIGHAT-E-EGHTESADI, vol. 47, no. 3, pp. 129–144, 2012, [Online]. Available: https://sid.ir/paper/11989/en

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