Forecasting Daily Exchange Rates

A Comparison Between SSA and MSSA

Authors

  • Rahim Mahmoudvand Bu-Ali Sina University
  • Paulo Canas Rodrigues University of Tampere
  • Masoud Yarmohammadi Payame Noor University

DOI:

https://doi.org/10.57805/revstat.v17i4.282

Keywords:

multivariate singular spectrum analysis, univariate singular spectrum analysis, forecasting, exchange rates

Abstract

In this paper, daily exchange rates in four of the BRICS emerging economies: Brazil, India, China and South Africa, over the period 2001 to 2015 are considered. In order to predict the future of exchange rate in these countries, it is possible to use both univariate and multivariate time series techniques. Among different time series analysis methods, we choose singular spectrum analysis (SSA), as it is a relatively powerful non-parametric technique and requires the fewest assumptions to be hold in practice. Both multivariate and univariate versions of SSA are considered to predict the daily currency exchange rates. The results show the superiority of MSSA, when compared with univariate SSA, in terms of mean squared error.

Published

2019-10-04

How to Cite

Mahmoudvand , R., Canas Rodrigues , P., & Yarmohammadi, M. (2019). Forecasting Daily Exchange Rates: A Comparison Between SSA and MSSA. REVSTAT-Statistical Journal, 17(4), 599–616. https://doi.org/10.57805/revstat.v17i4.282

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