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Dynamic behavior of exchange rate by using chaos theory model / Nurafiqah Idris, Nuradlin Sofiya Hasrezal and Siti Nur Syahira Shahrolnizam

Exchange rate is known as the relative national price level between two economies with the corresponding nominal exchange rate as an auxiliary to convert the account unit to calculate two price level in a single currency. In other words, this represents how many units a consumer can buy from a forei...

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Main Authors: Idris, Nurafiqah, Hasrezal, Nuradlin Sofiya, Shahrolnizam, Siti Nur Syahira
Format: Student Project
Language:English
Published: 2019
Subjects:
Study and teaching
Mathematical statistics. Probabilities
Analytical methods used in the solution of physical problems
Online Access:http://ir.uitm.edu.my/id/eprint/39152/1/39152.pdf
http://ir.uitm.edu.my/id/eprint/39152/
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spelling my.uitm.ir.391522020-12-27T02:27:35Z http://ir.uitm.edu.my/id/eprint/39152/ Dynamic behavior of exchange rate by using chaos theory model / Nurafiqah Idris, Nuradlin Sofiya Hasrezal and Siti Nur Syahira Shahrolnizam Idris, Nurafiqah Hasrezal, Nuradlin Sofiya Shahrolnizam, Siti Nur Syahira Study and teaching Mathematical statistics. Probabilities Analytical methods used in the solution of physical problems Exchange rate is known as the relative national price level between two economies with the corresponding nominal exchange rate as an auxiliary to convert the account unit to calculate two price level in a single currency. In other words, this represents how many units a consumer can buy from a foreign currency with one unit of their home currency. It is important to know the behavior of the data whether it is linear or non-linear and chaotic or non-chaotic. So that, by using the right forecasting method will increase the accuracy of the result. Thus, in this project, we conduct the Brock-Dechert-Scheinkman (BOS) test to check the linearity of the data. In case the data is non-linear, the presence of chaos in the data will be checked by using 0-1 test and Lyapunov exponent. In order to increase the accuracy of the performance of the method 0-1 test, the range of value random number, c is tested. In this project, the result for all 30 exchange rate shows non-linear and non¬ chaotic behavior. In consequent, it is recommended for the researcher to forecast the data by using non-linear model. 2019 Student Project NonPeerReviewed text en http://ir.uitm.edu.my/id/eprint/39152/1/39152.pdf Idris, Nurafiqah and Hasrezal, Nuradlin Sofiya and Shahrolnizam, Siti Nur Syahira (2019) Dynamic behavior of exchange rate by using chaos theory model / Nurafiqah Idris, Nuradlin Sofiya Hasrezal and Siti Nur Syahira Shahrolnizam. [Student Project] (Unpublished)
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Study and teaching
Mathematical statistics. Probabilities
Analytical methods used in the solution of physical problems
spellingShingle Study and teaching
Mathematical statistics. Probabilities
Analytical methods used in the solution of physical problems
Idris, Nurafiqah
Hasrezal, Nuradlin Sofiya
Shahrolnizam, Siti Nur Syahira
Dynamic behavior of exchange rate by using chaos theory model / Nurafiqah Idris, Nuradlin Sofiya Hasrezal and Siti Nur Syahira Shahrolnizam
description Exchange rate is known as the relative national price level between two economies with the corresponding nominal exchange rate as an auxiliary to convert the account unit to calculate two price level in a single currency. In other words, this represents how many units a consumer can buy from a foreign currency with one unit of their home currency. It is important to know the behavior of the data whether it is linear or non-linear and chaotic or non-chaotic. So that, by using the right forecasting method will increase the accuracy of the result. Thus, in this project, we conduct the Brock-Dechert-Scheinkman (BOS) test to check the linearity of the data. In case the data is non-linear, the presence of chaos in the data will be checked by using 0-1 test and Lyapunov exponent. In order to increase the accuracy of the performance of the method 0-1 test, the range of value random number, c is tested. In this project, the result for all 30 exchange rate shows non-linear and non¬ chaotic behavior. In consequent, it is recommended for the researcher to forecast the data by using non-linear model.
format Student Project
author Idris, Nurafiqah
Hasrezal, Nuradlin Sofiya
Shahrolnizam, Siti Nur Syahira
author_facet Idris, Nurafiqah
Hasrezal, Nuradlin Sofiya
Shahrolnizam, Siti Nur Syahira
author_sort Idris, Nurafiqah
title Dynamic behavior of exchange rate by using chaos theory model / Nurafiqah Idris, Nuradlin Sofiya Hasrezal and Siti Nur Syahira Shahrolnizam
title_short Dynamic behavior of exchange rate by using chaos theory model / Nurafiqah Idris, Nuradlin Sofiya Hasrezal and Siti Nur Syahira Shahrolnizam
title_full Dynamic behavior of exchange rate by using chaos theory model / Nurafiqah Idris, Nuradlin Sofiya Hasrezal and Siti Nur Syahira Shahrolnizam
title_fullStr Dynamic behavior of exchange rate by using chaos theory model / Nurafiqah Idris, Nuradlin Sofiya Hasrezal and Siti Nur Syahira Shahrolnizam
title_full_unstemmed Dynamic behavior of exchange rate by using chaos theory model / Nurafiqah Idris, Nuradlin Sofiya Hasrezal and Siti Nur Syahira Shahrolnizam
title_sort dynamic behavior of exchange rate by using chaos theory model / nurafiqah idris, nuradlin sofiya hasrezal and siti nur syahira shahrolnizam
publishDate 2019
url http://ir.uitm.edu.my/id/eprint/39152/1/39152.pdf
http://ir.uitm.edu.my/id/eprint/39152/
_version_ 1687396747825905664
score 13.223943

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