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Comparing Linear and Non-linear Benchmarks of Exchange Rate Forecasting

Author

Listed:
  • Ilse Botha
  • Marinda Pretorius
  • S. J. Retief

Abstract

Throughout the past 3 decades, the random walk model served as exchange rate forecasting benchmark to verify that a model is able to outperform a random process. However, its application as forecasting benchmark is contradictory. Rather than serving as a benchmark that explains exchange rate behaviour, it serves as a benchmark of what we do […]

Suggested Citation

  • Ilse Botha & Marinda Pretorius & S. J. Retief, 2015. "Comparing Linear and Non-linear Benchmarks of Exchange Rate Forecasting," Working Papers 494, Economic Research Southern Africa.
    • Handle: RePEc:rza:wpaper:494
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    Keywords

    econometric modelling; Quantitative Methods; Time Series Analysis;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • F3 - International Economics - - International Finance

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