Modern currency exchange rate behaviour and proposed trend-like forecasting model

Tweneboah Senzu, Emmanuel (2020): Modern currency exchange rate behaviour and proposed trend-like forecasting model. Forthcoming in: Journal of Advanced Studies in Finance : pp. 1-487.

Abstract

The study examined high volatile assets, specifically the currency exchange rate of the open financial market. Takes into consideration the five most traded paired currencies of the global financial market. And observed, generally, the dataset of the unit currency exchange rate exhibits homoscedastic qualities, making its dataset appropriate in the modelling adoption of auto-regression integrated moving average, as a reliable forecasting method for future pricing of the volatile assets. However, the current model prediction does address only the magnitude of asset price, ignoring its direction vector, which is the paramount interest and challenge of modern forecasters. Hence, the paper strives to solve such weaknesses of the model by introducing a momentum model as a complementary tool to the ARIMA model, to determine not only the price magnitude but the vector direction of volatile asset pricing, relative to the market, dependent on its lagged values.

• Item Type: MPRA Paper
• Language: English
• Keywords: Forecast, Momentum-model, Exchange rate, Homoscedacity, ARIMA, GARCH, Hard-currency
• Subjects: G - Financial Economics > G0 - General > G02 - Behavioral Finance: Underlying Principles; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation

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