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  • 标题:Effect of Interest, Moving Average, and Historical Volatility in Forecasting Exchange Prices of Major International Currencies
  • 本地全文:下载
  • 作者:Marwan Mohammad Abu Orabi ; Abdul Aziz F. AA. Saymeh
  • 期刊名称:International Journal of Economics and Finance
  • 印刷版ISSN:1916-971X
  • 电子版ISSN:1916-9728
  • 出版年度:2012
  • 卷号:4
  • 期号:5
  • 页码:246
  • DOI:10.5539/ijef.v4n5p246
  • 出版社:Canadian Center of Science and Education
  • 摘要:

    Forecasting foreign exchange prices drives the concerns of financial investors and occupies the minds of financial analysts as well. Most Current forecasting formulas used to employ individual financial factors, either fundamental or technical. The purpose of this study is to test the effect of combined financial factors in forecasting future exchange prices of world currencies. This study used one fundamental factor and two technical factors merged in one mathematical formula. Researchers have merged interest rate, historical volatility, and moving average in one formula. Empirical tests included correlation, Covariance tests to measure the magnitude of the linear relation between historical and computed exchange rates; F.Test aimed to show whether the two sets of historical and computed data have the same standard deviation at the specified confidence levels. Data included historical and computed sets of exchange prices of Swiss Franc, Sterling Pound, European Euro, and Japanese Yen against U.S.Dollar.Study period extended for ten years, i.e. 2000-2008.Results reflected high correlation and low covariance and accepted F.test; there were some biases due to extraneous factors which had affected the exchange rates for certain times during the testing period.

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