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About Jory Namrata Devi 2012
This document describes a dissertation that compares neural networks, ARIMA, and GARCH models for forecasting exchange rate data of the Mauritian Rupee. The author analyzes exchange rate data between the Mauritian Rupee and the US Dollar, Euro, and British Pound over two time periods. Neural networks, ARIMA, and GARCH models are fitted to the data and their in-sample and out-of-sample forecasting performance is evaluated using various error metrics. The author finds that the GARCH-ARMA model performs slightly better than ARIMA for in-sample forecasts, but the neural network model outperforms the other models for out-of-sample forecasts.
Detailed Information
| Author: | ['vas'] |
|---|---|
| Publication Year: | 2016 |
| Pages: | 50 |
| Language: | English |
| Format: | |
| Price: | FREE |
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