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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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Main Authors: Abadan, Siti Sarah, Shabri, Ani, Ismail, Shuhaida
Format: Conference or Workshop Item
Published: 2015
Subjects:
QA Mathematics
Online Access:http://eprints.utm.my/id/eprint/59307/
http://dx.doi.org/10.1063/1.4907453
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spelling my.utm.593072021-08-02T05:16:24Z http://eprints.utm.my/id/eprint/59307/ Hybrid Empirical Mode Decomposition- ARIMA for Forecasting Exchange Rates Abadan, Siti Sarah Shabri, Ani Ismail, Shuhaida QA Mathematics 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. 2015 Conference or Workshop Item PeerReviewed Abadan, Siti Sarah and Shabri, Ani and Ismail, Shuhaida (2015) Hybrid Empirical Mode Decomposition- ARIMA for Forecasting Exchange Rates. In: 2nd ISM International Statistical Conference 2014: Empowering the Applications of Statistical and Mathematical Sciences, ISM 2014, 12 - 14 August 2014, Kuantan, Pahang. http://dx.doi.org/10.1063/1.4907453
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
topic QA Mathematics
spellingShingle QA Mathematics
Abadan, Siti Sarah
Shabri, Ani
Ismail, Shuhaida
Hybrid Empirical Mode Decomposition- ARIMA for Forecasting Exchange Rates
description 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.
format Conference or Workshop Item
author Abadan, Siti Sarah
Shabri, Ani
Ismail, Shuhaida
author_facet Abadan, Siti Sarah
Shabri, Ani
Ismail, Shuhaida
author_sort Abadan, Siti Sarah
title Hybrid Empirical Mode Decomposition- ARIMA for Forecasting Exchange Rates
title_short Hybrid Empirical Mode Decomposition- ARIMA for Forecasting Exchange Rates
title_full Hybrid Empirical Mode Decomposition- ARIMA for Forecasting Exchange Rates
title_fullStr Hybrid Empirical Mode Decomposition- ARIMA for Forecasting Exchange Rates
title_full_unstemmed Hybrid Empirical Mode Decomposition- ARIMA for Forecasting Exchange Rates
title_sort hybrid empirical mode decomposition- arima for forecasting exchange rates
publishDate 2015
url http://eprints.utm.my/id/eprint/59307/
http://dx.doi.org/10.1063/1.4907453
_version_ 1707765853957652480
score 13.211869

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