期刊名称：International Journal of Business and Economic Sciences Applied Research (IJBESAR)
印刷版ISSN：2408-0101
出版年度：2010
卷号：3
期号：2
页码：21-39
出版社：Eastern Macedonia and Thrace Institute of Technology (EMATTECH), Kavala, Greece
摘要：In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed.The method is based on characterization of the TVP as an optimal control problem.The methodology is a blend of the flexible least squares and Kalman filter techniques.The out-of-sample forecasting performance of the TVP-VAR model is evaluated against the simple VAR and ARIMA models, by employing a cross-validation process and metrics such as mean absolute error, root mean square error, and directional accuracy.Out-of-sample results in terms of conventional forecast evaluation statistics and directional accuracy show TVP-VAR model consistently outperforms the simple VAR and ARIMA models.
