Chilean Nominal Exchange Rate: Forecasting Based Upon Technical Analysis
Abstract: This work presents a review of the main indicators used in the technical analysis of the peso-dollar parity. We explain the interpretations carried out by technical analysts of these indicators and perform forecasting analysis of the Relative Strength Index (RSI) to predict exchange rate returns at daily frequency. The predictive exercises are done using both in-sample and out-of-sample techniques, and report a robust forecasting ability for horizons within 7 weeks.
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Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 425.
Date of creation: Aug 2007
Date of revision:
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