Application of Combination Model for Exchange Rate Forecasting
LI Zhe
MA Zhong-dong
Abstract：In order to accurately predict the exchange rate , the combination forecasting model is proposed based on ARIMA‐GARCH~GED and PSO‐LSSVM model .Firstly ,exchange rate is decom‐posed into a long‐term trend series and cycle sequence by HP filter .Secondly ,using the ARIMA‐GARCH~GED model for the long‐term trend series forecasting analysis ,PSO‐LS‐SVM model for cycle sequence training analysis .Finally ,the long‐term trend value and circulation trends add up to the value of the forecasting exchange rate .In comparison to other method ,this combination forecasting model is more accurate than the single forecast model ,w hich can more accurately predict the exchange rate of non‐stationary time series .
Keywords：exchange rateARIMA-GARCH~GED modelPSO-LSSVM modelHP filter
Publication Date：2016-01-01
Online Publishing Date：2026-08-28(First online date of this platform, not the publication date of the document)
Pages：5( 62-66 )