A New Forecasting Model for USD/CNY Exchange Rate

View/ Open
Issue Date
2012-09-18Author
Cai, Zongwu
Chen, Linna
Fang, Ying
Publisher
De Gruyter
Type
Article
Article Version
Scholarly/refereed, publisher version
Metadata
Show full item recordAbstract
This paper models the return series of USD/CNY exchange rate by considering the conditional mean and conditional volatility simultaneously. An index type functional-coefficient model is adopted to model the conditional mean part and a GARCH type model with a policy dummy variable is applied to the conditional volatility model. We show that the government policy indeed has an impact on the exchange rate dynamic. To evaluate the out-of-sample forecasting ability, a prediction interval is computed by employing nonparametric conditional quantile regression. Our method outperforms other popular models in terms of various criteria.
Description
This is the publisher's version, also available electronically from http://www.degruyter.com/view/j/snde.2012.16.issue-3/1558-3708.1878/1558-3708.1878.xml.
ISSN
1558-3708Collections
Citation
Zongwu Cai, Linna Chen, Ying Fang. 2012. "A New Forecasting Model for USD/CNY Exchange Rate." Studies in Nonlinear Dynamics & Econometrics. Volume 16, Issue 3. http://www.dx.doi.org/10.1515/1558-3708.1878
Items in KU ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
We want to hear from you! Please share your stories about how Open Access to this item benefits YOU.