Advanced Search
MyIDEAS: Login to save this article or follow this journal

Assessing the Forecastibility of ESTAR Model: Some Evidence from Ringgit/Yen Rate

Contents:

Author Info

  • Ahmad Zubaidi Baharumshah
  • Venus Khim-Sen Liew
  • Evan Lau

Abstract

This paper endeavors to contribute to the debate on the relevance of non-linear forecasts in the financial markets. To that end, this study forecasts the Yen-based Ringgit by using the Exponential Smooth Transition Autoregressive (ESTAR) model. When formally assessed for forecast accuracy, the results reveal that the ESTAR out-of-sample predictors statistically outperform both the linear AR and random walk models at standard significant levels. The hypothesis of equal forecasting accuracy between ESTAR model and the random walk model is formally rejected based on the Fisher sign test. This paper offers evidence on the ability to forecast exchange rates using non-linear methods and concludes that linear models are not always the optimal for forecasting exchange rate as there is some forecast accuracy that can be gained by considering the non-linearity inherent in the exchange rate.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by IUP Publications in its journal The IUP Journal of Applied Economics.

Volume (Year): VI (2007)
Issue (Month): 1 (January)
Pages: 7-19

as in new window
Handle: RePEc:icf:icfjae:v:06:y:2007:i:1:p:7-19

Contact details of provider:

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:icf:icfjae:v:06:y:2007:i:1:p:7-19. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (G R K Murty).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.