This study evaluates the performance of three alternative models for forecasting daily interbank exchange rate of U.S. dollar measured in Pak rupees. The simple ARIMA models and complex models such as GARCH-type models and a state space model are discussed and compared. Four different measures are used to evaluate the forecasting accuracy. The main result is the state space model provides the b...

This paper aimed at modelling the volatility of monthly average official exchange rate (Naira/USD) using Autoregressive Integrated Moving Average (ARIMA) and Generalized Conditional Heteroscedasticity (GARCH) for period January, 1981 to December, 2021. The data study was obtained from Central Bank Nigeria 2021 Statistical Bulletin. time plot, Augmented Dickey Fuller (ADF) Phillip’s Perron (PP) ...

و arima-garch ،garch ،arima هدف اصلی در مقاله حاضر مقایسه دقت پیش بینی چهار مدلدر تخمین و پیش بینی شاخص قیمت بورس اوراق بهادار تهران )تپیکس( است. برای این منظور، state spaceداده های روزانه 1 بهمن سال 1389 تا 30 بهمن سال 1392 به عنوان درون داده و 1 اسفند 1392 تا 30 اردیبهشت1393 به عنوان برون داده، استفاده شده اند. از طرفی دیگر، برای بررسی بیشتر و افزایش دقت پیش بینی مدل هایمذکور برای شاخص تپیکس ...

This paper attempts to compare the forecasting performance of the ARIMA model and hybrid ARMA-GARCH Models by using daily data of the Iran’s exchange rate against the U.S. Dollar (IRR/USD) for the period of 20 March 2014 to 20 June 2015. The period of 20 March 2014 to 19 April 2015 was used to build the model while remaining data were used to do out of sample forecasting and check the forecasti...

This paper presents a comparison of statistical classical methods and machine learning algorithms for time series forecasting notably the Exponential Smoothing, hybrid ARIMA-GARCH model, K-Nearest Neighbors (KNN), Prophet, Long-Short Term Memory (LSTM). The data set used in this study is related to US inflation covers period from 1965 2021. performance models was evaluated using different metri...

Purpose This study focuses on forecasting the price of most important export crops vegetables and fruits in Egypt from 2016 to 2030. Design/methodology/approach The applied generalized autoregressive conditional heteroskedasticity (GARCH) model integrated moving average (ARIMA) model. Findings results show that ARIMA (1,1,1), (2.1,2), (1,1,0), (1,1,2), (0,1,0) (1,1,1) are appropriate fitted mod...

We present the analysis aimed at the estimation of flood risks of Tisza River in Hungary on the basis of daily river discharge data registered in the last 100 years. The deseasonalised series has skewed and leptokurtic distribution and various methods suggest that it possesses substantial long memory. This motivates the attempt to fit a fractional ARIMA model with non-Gaussian innovations as a ...