Research on the GARCH Model Optimized by the Ant Colony Algorithm of Forecast Exchange Rate

Author

Xiaofeng, Hui ; Junjian, Wang ; Jingshu, Cai

Author_Institution

Sch. of Manage., Harbin Inst. of Technol. (HIT), Harbin, China

Volume

1

fYear

2009

fDate

25-27 Dec. 2009

Firstpage

380

Lastpage

383

Abstract

In 2005, after the RMB exchange rate reform, the RMB-USD exchange rate has been caused for concern. This article is based on the use of GARCH models to establish the prediction model of RMB-USD exchange rate and a new stimulated evolutionary optimization algorithm - ant colony algorithm applied to the model, hoping to provide a RMB-USD exchange rate for the model to predict accurately. We analyze the prediction results of GARCH model and MMAS-GARCH model, and eventually proved the MMAS-GARCH model is better than the GARCH model in the forecast of the RMB-USD exchange rate.

Keywords

autoregressive processes; evolutionary computation; exchange rates; forecasting theory; optimisation; GARCH model; RMB-USD exchange rate; ant colony algorithm; evolutionary optimization algorithm; forecast exchange rate; Ant colony optimization; Application software; Cities and towns; Computer applications; Demand forecasting; Economic forecasting; Exchange rates; Predictive models; Technology forecasting; Technology management; GARCH model; ant colony algorithm; forecast exchange rate; optimization;

fLanguage

English

Publisher

ieee

Conference_Titel

Computer Science-Technology and Applications, 2009. IFCSTA '09. International Forum on

Conference_Location

Chongqing

Print_ISBN

978-0-7695-3930-0

Electronic_ISBN

978-1-4244-5423-5

Type

conf

DOI

10.1109/IFCSTA.2009.98

Filename

5385055