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 (7)
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: https://EconPapers.repec.org/RePEc:ist:ancoec:v:9:y:2009:i:1:p:17-29
Access Statistics for this article
Istanbul University Econometrics and Statistics e-Journal is currently edited by Kutluk Kagan Sumer
More articles in Istanbul University Econometrics and Statistics e-Journal from Department of Econometrics, Faculty of Economics, Istanbul University Contact information at EDIRC.
Bibliographic data for series maintained by Istanbul University Press Operational Team (Ertuğrul YAŞAR) ().