As it is possible to model both linear and nonlinear structures in time series by using Artificial Neural Network (ANN), it is suitable to apply this method to the chaotic series having nonlinear component. Therefore, in this study, we propose to employ ANN method for high volatility Turkish TL/US dollar exchange rate series and the results show that ANN method has the best forecasting accuracy with respect to time series models, such as seasonal ARIMA and ARCH models. The suggestions about the details of the usage of ANN method are also made for the exchange rate of Turkey.
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Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications F31 - International Economics - - International Finance - - - Foreign Exchange G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting
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