Abadan, Siti Sarah and Shabri, Ani and Ismail, Shuhaida (2015) Hybrid Empirical Mode Decomposition- ARIMA for Forecasting Exchange Rates. In: 2nd ISM International Statistical Conference 2014: Empowering the Applications of Statistical and Mathematical Sciences, ISM 2014, 12 - 14 August 2014, Kuantan, Pahang.
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Official URL: http://dx.doi.org/10.1063/1.4907453
Abstract
This paper studied the forecasting of monthly Malaysian Ringgit (MYR)/ United State Dollar (USD) exchange rates using the hybrid of two methods which are the empirical model decomposition (EMD) and the autoregressive integrated moving average (ARIMA). MYR is pegged to USD during the Asian financial crisis causing the exchange rates are fixed to 3.800 from 2 nd of September 1998 until 21 st of July 2005. Thus, the chosen data in this paper is the post-July 2005 data, starting from August 2005 to July 2010. The comparative study using root mean square error (RMSE) and mean absolute error (MAE) showed that the EMD-ARIMA outperformed the single-ARIMA and the random walk benchmark model.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | EMD-ARIMA, Forecasting |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Science |
| ID Code: | 59307 |
| Deposited By: | Haliza Zainal |
| Deposited On: | 18 Jan 2017 01:50 |
| Last Modified: | 02 Aug 2021 05:16 |
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