Change search
ReferencesLink to record
Permanent link

Direct link
Exchange rate forecasting model comparison: A case study in North Europe
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2011 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

In the past, a lot of studies about the comparison of exchange rate forecasting models have been carried out. Most of these studies have a similar result which is the random walk model has the best forecasting performance. In this thesis, I want to find a model to beat the random walk model in forecasting the exchange rate. In my study, the vector autoregressive model (VAR), restricted vector autoregressive model (RVAR), vector error correction model (VEC), Bayesian vector autoregressive model are employed in the analysis. These multivariable time series models are compared with the random walk model by evaluating the forecasting accuracy of the exchange rate for three North European countries both in short-term and long-term. For short-term, it can be concluded that the random walk model has the best forecasting accuracy. However, for long-term, the random walk model is beaten. The equal accuracy test proves this phenomenon really exists.

Place, publisher, year, edition, pages
2011. , 31 p.
Keyword [en]
multivariable time series models, exchange rate, forecasting comparison, forecasting accuracy, equal accuracy test
URN: urn:nbn:se:uu:diva-154948OAI: diva2:422759
Subject / course
Educational program
Master Programme in Statistics
Physics, Chemistry, Mathematics
Available from: 2011-06-14 Created: 2011-06-13 Last updated: 2011-06-14Bibliographically approved

Open Access in DiVA

fulltext(622 kB)1428 downloads
File information
File name FULLTEXT01.pdfFile size 622 kBChecksum SHA-512
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Yongtao, Yu
By organisation
Department of Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 1428 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 644 hits
ReferencesLink to record
Permanent link

Direct link