Title :
Forecasting the exchange rate between ASEAN currencies and USD
Author :
Wang, Tien-Chin ; Kuo, Su-Hui ; Chen, Hui-Chen
Author_Institution :
Dept. of Int. Bus., Nat. Kaohsiung Univ. of Appl. Sci., Kaohsiung, Taiwan
Abstract :
As the US has growing financial ties in Southeast Asia, how to accurately predict the ASEAN currencies becomes more and more important. This study applied the GM (1,1) model [6,9,10,11] to predict the exchange rate between the SGD and USD, IDR and USD, THB and USD, MYR and USD and PHP and USD from Jan 2002 to Feb 2011.The results show that the average accuracy of the forecasting model exceeds 99.38%.
Keywords :
exchange rates; forecasting theory; ASEAN currencies; GM (1,1) model; Southeast Asia; USD; exchange rate forecasting; exchange rate prediction; forecasting model; Data models; Differential equations; Equations; Exchange rates; Forecasting; Mathematical model; Predictive models; Foreign exchange rate; GM (1, 1); IDR; MYR; PHP; SGD; THB; USD; forecasting; grey theory;
Conference_Titel :
Industrial Engineering and Engineering Management (IEEM), 2011 IEEE International Conference on
Conference_Location :
Singapore
Print_ISBN :
978-1-4577-0740-7
Electronic_ISBN :
2157-3611
DOI :
10.1109/IEEM.2011.6118007
