Predicting Daily Exchange Rate with Singular Spectrum Analysis
نویسندگان
چکیده
This paper uses univariate and multivariate singular spectrum analysis for predicting the value and the direction of changes in the daily pound / dollar exchange rate. To perform the forecast, we also use the daily dollar exchange rates with respect to Euro and Japanese yen. We use the random walk model as a benchmark model to evaluate performances of the singular spectrum analysis as a prediction method. The empirical results show that the forecast based on the multivariate singular spectrum analysis compares favorably to the forecast of the random walk model, both for predicting the value and the direction of changes in the daily pound / dollar exchange rate.
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