Applied SCGM(1,1)c Model and Weighted Markov Chain for Exchange Rate Ratios
Shaghayegh Kordnoori (),
Hamidreza Mostafaei () and
Shirin Kordnoori ()
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Shaghayegh Kordnoori: Research Institute for ICT, Tehran, Iran
Hamidreza Mostafaei: Islamic Azad University, Tehran, Iran, Institute for International Energy Studies
Shirin Kordnoori: Islamic Azad University,Tehran,Iran
Hyperion Economic Journal, 2015, vol. 3, issue 4, 12-22
The importance of predicting the fluctuations of exchange rate ratios is noticeable. In relation to markov model and grey system theory, using a single gene system cloud grey SCGM(1,1)c model to adjust the development trend of time series, its error index is randomly fluctuated. Markov chain model is appropriate to forecasting of a random dynamic system, choosing weighted markov chain to predict the error index. We applied a weighted markov SCGM(1,1)c model for predicting the U.S. Dollar /Euro, U.S. Dollar/Japan Yen, U.S. Dollar/Swiss franc and U.S. Dollar/Trade –Weighted Index. The forecasting results are reliable and show that the weighted markov SCGM(1,1)c model has high prediction precision.
Keywords: Weighted Markov Chain; SCGM(1; 1)c Model; Exchange Rate Ratios (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:hyp:journl:v:3:y:2015:i:4:p:12-22
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