Forecast Intervals for US/EURO Foreign Exchange Rate || Intervalos de pronóstico para los tipos de cambio US/EURO

Mihaela Simionescu

Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, 2017, vol. 23, issue 1, 257-271

Abstract: The main goal of this research is to construct and assess forecast intervals for monthly US/EURO foreign exchange rate. The point forecasts used to build the intervals are based on a vector autoregression (VAR model) and on a Bayesian VAR model for data starting with the first month of 1999. The forecast intervals are based on the prediction error of the previous month. All the interval predictions based on VAR model included the actual values from 2014. The probability that the intervals based on BVAR model include the registered values of exchange rate is less than 0.8, according to likelihood ratio and chi-square tests. || El objetivo principal de esta investigación es construir y evaluar intervalos mensuales previstos para los tipos de cambio US/EURO. Las previsiones puntuales usadas para construir los intervalos se basan en un modelo de vectores autorregresivos (VAR) y en un modelo VAR bayesiano para los datos a partir del primer mes de 1999. El pronóstico se basa en el error de intervalos de predicción del mes anterior. Todas las predicciones de intervalos basadas en el modelo VAR incluyen los valores reales de 2014. La probabilidad de que los intervalos basados en el modelo BVAR incluyan los valores registrados de los tipos de cambio es inferior a 0,8, según las pruebas de coeficiente de chi-cuadrado y de verosimilitud.

Keywords: forecast intervals; exchange rate; VAR model; Bayesian VAR model; intervalos de pronóstico; tipos de cambio; modelo VAR; modelo VAR bayesiano (search for similar items in EconPapers)
JEL-codes: C51 C53 (search for similar items in EconPapers)
Date: 2017
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