Simultaneous Prediction Intervals for Forecasting EUR/USD Exchange Rate

Ilaria Lucrezia Amerise () and Agostino Tarsitano ()
Additional contact information
Ilaria Lucrezia Amerise: University of Calabria
Agostino Tarsitano: University of Calabria

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021, pp 15-20 from Springer

Abstract: Abstract The objective of this paper is to describe a practical method for calculating simultaneous prediction intervals for a daily series of exchange rates for the EUR/USD pair. We first evaluate several ARIMA models to describe the log-returns and then use the selected process to develop probabilistic forecasts represented by simultaneous prediction intervals. Although it has been claimed that exchange rate models perform poorly in predicting future levels, our results applying SARIMA model show satisfactory performance in terms of Akaike information criterion, Ljung-Box statistic and, above all, in terms of out-of-sample accuracy.

Keywords: Probabilistic forecasts; SARIMA models; EUR/USD exchange rates (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:sprchp:978-3-030-78965-7_3

Ordering information: This item can be ordered from
http://www.springer.com/9783030789657

DOI: 10.1007/978-3-030-78965-7_3

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().