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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| Veröffentlicht in: | RAM. Revista de Administração Mackenzie |
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| Hauptverfasser: | , , |
| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
Universidade Presbiteriana Mackenzie
2019
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| Schlagworte: | |
| Online-Zugang: | 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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