Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195422 
Year of Publication: 
2017
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 23 [Publisher:] Universidad Pablo de Olavide [Place:] Sevilla [Year:] 2017 [Pages:] 257-271
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract: 
The main goal of this research is to construct and assess forecast intervals for monthly US/EURO foreign exchange rate. The point forecasts used to build the intervals are based on a vector autoregression (VAR model) and on a Bayesian VAR model for data starting with the first month of 1999. The forecast intervals are based on the prediction error of the previous month. All the interval predictions based on VAR model included the actual values from 2014. The probability that the intervals based on BVAR model include the registered values of exchange rate is less than 0.8, according to likelihood ratio and chi-square tests.
Subjects: 
forecast intervals
exchange rate
VAR model
Bayesian VAR model
JEL: 
C51
C53
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

Files in This Item:
File
Size
692.66 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.