HYPERION ECONOMIC JOURNAL

Hyperion University of Bucharest
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HYPERION ECONOMIC JOURNAL

August 2019
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Applied SCGM(1,1)c Model and Weighted Markov Chain for Exchange Rate Ratios

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Authors:
  • Shaghayegh Kordnoori, Affiliation: Research Institute for ICT, Tehran, Iran;
  • Hamidreza Mostafaei, Affiliation:Islamic Azad University, Institute for International Energy Studies, Tehran, Iran;
  • Shirin Kordnoori, Affiliation: Islamic Azad University, Tehran, Iran.
Pages:  12 : 22
Abstract:

The importance of predicting the fluctuations of exchange rate ratios is noticeable. In relation to markov model and grey system theory, using a single gene system cloud grey SCGM(1,1)c model to adjust the development trend of time series, its error index is randomly fluctuated. Markov chain model is appropriate to forecasting of a random dynamic system, choosing weighted markov chain to predict the error index. We applied a weighted markov SCGM(1,1)c model for predicting the U.S. Dollar /Euro, U.S. Dollar/Japan Yen, U.S. Dollar/Swiss franc and U.S. Dollar/Trade –Weighted Index. The forecasting results are reliable and show that the weighted markov SCGM(1,1)c model has high prediction precision.

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