Forecasting USDTRY rate by ARIMA method

The Comparison among ARIMA and hybrid ARIMA-GARCH Models in Forecasting the Exchange Rate of Iran

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...

Forecasting binary longitudinal data by a functional PC-ARIMA model

The purpose of this paper is to forecast the time evolution of a binary response variable from an associated continuous time series observed only at discrete time points that usually are unequally spaced. In order to solve this problem we are going to use a functional logit model based on functional principal component analysis of the predictor time series that takes into account its continuous...

Forecasting irish inflation using ARIMA models

This paper outlines the practical steps which need to be undertaken to use autoregressive integrated moving average (ARIMA) time series models for forecasting Irish inflation. A framework for ARIMA forecasting is drawn up. It considers two alternative approaches to the issue of identifying ARIMA models the Box Jenkins approach and the objective penalty function methods. The emphasis is on forec...

Electricity price forecasting – ARIMA model approach

Electricity price forecasting is becoming more important in everyday business of power utilities. Good forecasting models can increase effectiveness of producers and buyers playing roles in electricity market. Price is also a very important element in investment planning process. This paper presents a forecasting technique to model day-ahead spot price using well known ARIMA model to analyze an...

Small-sample Forecasting Regression or Arima Models?