Prediction of Exchange Rates With Autoregressive Model With Exponential Forgetting

• Authors: Kamil Dedecius , Jana Kalová , Vojtěch Stehel
• Languages of publication: EN

Abstracts

EN

The paper deals with a first-order autoregression model with parameter estimation with exponential forgetting, known and well established in the mathematical system theory. However, the use of exponential forgetting in econometry is not a standard. Under the assumption of slow timevariability of model parameters and model stationarity, this estimation method could however lead to significant improvement of the prediction quality. In this paper, we describe the Bayesian approach to such a modelling and parameter estimation. The use of the method is demonstrated on a one-step-ahead prediction of the EUR-USD exchange rate.

Keywords

EN

prediction; estimation; exchange rate; exponential forgetting; regression

Discipline

• ECONOMICS: ECONOMICS

• Publisher: The Institute of Technology and Business in České Budějovice, Czech Republic
• Journal: Littera Scripta
• Year: 2008
• Volume: 2
• Pages: 1-9

Dates

published

22.12.2008

Contributors

author

Kamil Dedecius

• Institute of Technology and Business in České Budějovice

author

Jana Kalová

• Institute of Technology and Business in České Budějovice

author

Vojtěch Stehel

• Institute of Technology and Business in České Budějovice

• [e-mail], Redakce Littera Scripta, Okružní 10, 370 01 České Budějovice, Czech Republic