APPLYING SINGULAR SPECTRUM ANALYSIS AND ARIMA-GARCH FOR FORECASTING EUR/USD EXCHANGE RATE

Purpose: The objective of this article is to model a minute series of exchange rates for the EUR/USD pair using the singular spectrum analysis (SSA) and ARIMA-GARCH methods and evaluate which one offers better forecasts for a five-minute horizon. Originality/value: Despite being a successful techniq...

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Vydáno v:	RAM. Revista de Administração Mackenzie
Hlavní autoři:	RAFAEL J. ABREU, RAFAEL M. SOUZA, JOICE G. OLIVEIRA
Médium:	Artigo
Jazyk:	Inglês
Vydáno:	Universidade Presbiteriana Mackenzie 2019
Témata:	Administración y Contabilidad
On-line přístup:	https://www.redalyc.org/articulo.oa?id=195462075004 https://www.redalyc.org/journal/1954/195462075004/ https://www.redalyc.org/journal/1954/195462075004/html/ https://www.redalyc.org/journal/1954/195462075004/195462075004.epub https://www.redalyc.org/journal/1954/195462075004/movil
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