Modern currency exchange rate behaviour and proposed trend-like forecasting model

Emmanuel Senzu

MPRA Paper from University Library of Munich, Germany

Abstract: The study examined high volatile assets, specifically the currency exchange rate of the open financial market. Takes into consideration the five most traded paired currencies of the global financial market. And observed, generally, the dataset of the unit currency exchange rate exhibit homoscedastic qualities making it appropriate for the use of auto-regression integrated moving average as a reliable model forecast for future pricing of the volatile assets. However, the current model prediction addresses only the magnitude of asset price ignoring its direction, which is the paramount challenge of forecasters. Hence the paper resolves such weakness of the model by introducing a momentum model as a complementary tool to the ARIMA model to determine not only price magnitude but the vector direction of volatile asset pricing relative to the market, dependent on its lagged values.

Keywords: Forecast; Momentum-model; Exchange rate; Homoscedacity; ARIMA; GARCH; Hard-currency (search for similar items in EconPapers)
JEL-codes: G02 G11 G12 G15 G17 (search for similar items in EconPapers)
Date: 2020-05-01
New Economics Papers: this item is included in nep-for
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Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/110312/1/MPRA_paper_110312.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:99933

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