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Sains
Malaysiana 41(4)(2012): 481-488
Point Forecast Markov Switching Model
for U.S. Dollar/ Euro Exchange Rate
(Ramalan
Titik Menggunakan Model Peralihan Markov untuk Kadar Pertukaran
Wang
Dolar US/Euro)
Hamidreza Mostafaei1,2* & Maryam Safaei1
1Department
of Statistics, Faculty of Basic Sciences The
Islamic Azad University North Tehran Branch, Tehran- Iran
2Department
of Economics Energy, Institute for International Energy Studies (IIES)
Tehran-
Iran
Diserahkan:
21 Julai 2011 / Diterima: 7 Oktober 2011
ABSTRACT
This
research proposes a point forecasting method into Markov switching
autoregressive model. In case of two regimes, we proved the probability that h
periods later process will be in regime 1 or 2 is given by steady-state probabilities.
Then, using the value of h-step-ahead forecast data at time t in each regime
and using steady-state probabilities, we present an h-step-ahead point forecast
of data. An empirical application of this forecasting technique for U.S.
Dollar/Euro exchange rate showed that Markov switching autoregressive model
achieved superior forecasts relative to the random walk with drift. The results
of out-of-sample forecast indicate that the fluctuations of U.S. Dollar/ Euro
exchange rate from May 2011 to May 2013 will be rising.
Keywords:
Exchange rate; Markov switching; point forecast
ABSTRAK
Kajian
ini mencadangkan kaedah ramalan titik menggunakan model autoregresi peralihan Markov. Untuk situasi dua rejim, kebarangkalian
sama ada ianya berada dalam rejim 1 atau 2 untuk proses h tempoh ke hadapan
diberikan oleh kebarangkalian keadaan mantap. Seterusnya, dengan menggunakan keputusan
yang diperoleh pada masa t untuk setiap rejim dan kebarangkalian keadaan
mantap, kami mempersembahkan ramalan titik h langkah kehadapan. Aplikasi
empirikal kaedah ramalan ini dengan menggunakan kadar pertukaran wang US
dolar/Euro menunjukkan bahawa model autoregresi peralihan Markov mampu memberikan ramalan yang lebih baik
berbanding dengan model perjalanan rawak berserta hanyutan. Keputusan ramalan
luar sampel menunjukkan bahawa kadar pertukaran asing US Dollar/Euro akan
meningkat dari Mei 2011 hingga Mei 2013.
Kata kunci: Kadar pertukaran wang; ramalan titik;
peralihan Markov
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*Pengarang untuk surat menyurat;email: h_mostafaei@iau-tnb.ac.ir
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