EconPapers    
Economics at your fingertips  
 

Forecasting The Exchange Rate Series With Ann: The Case Of Turkey

Cem Kadilar, Muammer Simsek () and Cagdas Hakan Aladag ()
Additional contact information
Muammer Simsek: Cumhuriyet University
Cagdas Hakan Aladag: Hacettepe University

Istanbul University Econometrics and Statistics e-Journal, 2009, vol. 9, issue 1, 17-29

Abstract: As it is possible to model both linear and nonlinear structures in time series by using Artificial Neural Network (ANN), it is suitable to apply this method to the chaotic series having nonlinear component. Therefore, in this study, we propose to employ ANN method for high volatility Turkish TL/US dollar exchange rate series and the results show that ANN method has the best forecasting accuracy with respect to time series models, such as seasonal ARIMA and ARCH models. The suggestions about the details of the usage of ANN method are also made for the exchange rate of Turkey.

Keywords: Activation function; ARIMA; ARCH; Artificial neural network; Chaotic series; Exchange rate; Forecasting; Time series (search for similar items in EconPapers)
JEL-codes: C22 C45 C53 F31 G17 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://eidergisi.istanbul.edu.tr/sayi9/iueis9m2.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ist:ancoec:v:9:y:2009:i:1:p:17-29

Access Statistics for this article

More articles in Istanbul University Econometrics and Statistics e-Journal from Department of Econometrics, Faculty of Economics, Istanbul University Contact information at EDIRC.
Series data maintained by Kutluk Kagan Sumer ().

 
Page updated 2017-08-20
Handle: RePEc:ist:ancoec:v:9:y:2009:i:1:p:17-29