Daily Exchange Rates Forecast (Using DLM model)
This [unedited] guest post is by a student in my PSTAT262MC class (background post).
Please praise/critique/comment on its quality and importance to you.
![chi-yang [thumbnails].jpg](http://jaradniemi.com/blog/includes/class/pstat262mc/chi-yang [thumbnails].jpg)
Chi-yang Chiu says:
Consider the daily Taiwan/US and Philippine/US exchange rates, plotted in my previous post SUTSE bivariate local growth model are used to analysis these two time series.
The short term model based forecast (95% interval) for the exchange rates of TWD and PHP to USD on March 11 2010 are 32.15 (31.63, 32.74) and 46.36 (45.30, 47.44) respectively. And the long term model based forecast (95% interval) on May 27 2010 are 32.22(29.07, 35.71) and 46.05(41.34, 51.31).
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Chi-yang Chiu says:
Consider the daily Taiwan/US and Philippine/US exchange rates, plotted in my previous post SUTSE bivariate local growth model are used to analysis these two time series.
The short term model based forecast (95% interval) for the exchange rates of TWD and PHP to USD on March 11 2010 are 32.15 (31.63, 32.74) and 46.36 (45.30, 47.44) respectively. And the long term model based forecast (95% interval) on May 27 2010 are 32.22(29.07, 35.71) and 46.05(41.34, 51.31).
blog comments powered by Disqus