Predictive Analysis of Exchange Rates Using Hybrid Models
نویسنده
چکیده
In this paper an attempt is made to develop hybrid models using Artificial Neural Network (ANN) and Autoregressive Integrated Moving Average (ARIMA) for predicting the future exchange rate for US dollar. Simulation results of hybrid models were compared with results of ANN based models and ARIMA based models. Results show that the model ANN – ARIMA ANN gives a better performance than the other models. The performance of the two methods were compared based on standard statistical measures such as MAPE, MAE, RMSE and MSE. Validity of the models were tested and the future exchange rate was predicted.
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