Research of RMB Exchange Rate Forecasting based on NARX Model with NDF

被引：0

作者：

Wang Nan ^{[1
]}

Hou Tieshan ^{[1
]}

机构：

[1] Dalian Univ Technol, Dept Management & Econ, Dalian 116024, Peoples R China

来源：

PROCEEDINGS OF THE 5TH (2013) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS I AND II | 2013年

关键词：

Nonlinear Auto Regressive; NARX model; forecasting; NDF;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Nonlinear Auto Regressive models with exogenous Inputs which we use NARX for short, is a branch of Artificial Neural Network. As the forecasting of exchange rate is a nonlinear problem, in this paper, we use NARX model to forecast the RMB exchange rate. To NARX models, selection of input variables has significant influence on the accuracy of the forecasting results. This paper selects non-deliverable forward exchange rate, which is known as NDF, as an external input, use data before and after the reform of the RMB exchange rate during to do the, forecasting, and achieved good results.

引用

页码：425 / 434

页数：10

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