Hybrid Empirical Mode Decomposition- ARIMA for Forecasting Exchange Rates
This paper studied the forecasting of monthly Malaysian Ringgit (MYR)/ United State Dollar (USD) exchange rates using the hybrid of two methods which are the empirical model decomposition (EMD) and the autoregressive integrated moving average (ARIMA). MYR is pegged to USD during the Asian financial...
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| 主要な著者: | , , |
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| フォーマット: | Conference or Workshop Item |
| 出版事項: |
2015
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| 主題: | |
| オンライン･アクセス: | http://eprints.utm.my/id/eprint/59307/ http://dx.doi.org/10.1063/1.4907453 |
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| 要約: | This paper studied the forecasting of monthly Malaysian Ringgit (MYR)/ United State Dollar (USD) exchange rates using the hybrid of two methods which are the empirical model decomposition (EMD) and the autoregressive integrated moving average (ARIMA). MYR is pegged to USD during the Asian financial crisis causing the exchange rates are fixed to 3.800 from 2 nd of September 1998 until 21 st of July 2005. Thus, the chosen data in this paper is the post-July 2005 data, starting from August 2005 to July 2010. The comparative study using root mean square error (RMSE) and mean absolute error (MAE) showed that the EMD-ARIMA outperformed the single-ARIMA and the random walk benchmark model. |
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