The Comparative Comparison of Exchange Rate Models

Kamran Mahmodpour, Yaser Sistani Badooei, Hadiseh Mohseni and Saman Veismoradi
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Kamran Mahmodpour: Department of Economics, University of Sistan and Baluchestan, Zahedan, Iran
Yaser Sistani Badooei: Department of Economics, Baft Higher Education Center, Shahid Bahonar University of Kerman, Kerman, Iran
Hadiseh Mohseni: Departments of Sama, Shirvan Branch, Islamic Azad University, Shirvan, Iran
Saman Veismoradi: University of Sistan and Baluchestan, Zahedan, Iran

International Journal of Economics and Financial Issues, 2016, vol. 6, issue 2, 380-385

Abstract: One of the most important and effectiveness of macroeconomics variables is prediction of future exchange rate trend which heavily considered by economic scholars. Its changes affects different parts of economic, thus it is necessary to model it to provide more suitable economic advising. In order to do that, in this paper we have used seasonal autoregressive integrated moving average (SARIMA), autoregressive conditional heteroskedastistiy (ARCH) and generalized ARCH (GARCH) models to simulate the time series trends of exchange rate in Iranian non-official market. The results show that GARCH provides better and more acceptable outputs than SARIMA.

Keywords: Seasonal Autoregressive Integrated Moving Average; Autoregressive Conditional Heteroskedastistiy; Generalized Autoregressive Conditional Heteroskedastistiy; Exchange Rate (search for similar items in EconPapers)
JEL-codes: C22 C32 E31 E32 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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