APPLYING SINGULAR SPECTRUM ANALYSIS AND ARIMA-GARCH FOR FORECASTING EUR/USD EXCHANGE RATE

ABSTRACT Purpose: The objective of this article is to model a minute series of exchange rates for the EUR/USD pair using the singular spectrum analysis (SSA) and ARIMA-GARCH methods and evaluate which one offers better forecasts for a five-minute horizon. Originality/value: Despite being a successfu...

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Bibliographic Details
Main Author: ABREU,RAFAEL J. (author)
Other Authors: SOUZA,RAFAEL M. (author), OLIVEIRA,JOICE G. (author)
Format: article
Language:eng
Published: 2019
Subjects:
Exchange market
Exchange rates
Dollar
Euro
Time-series forecast
Online Access:http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712019000400401
Country:Brazil
Oai:oai:scielo:S1678-69712019000400401

Internet

http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712019000400401

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