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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| Outros Autores: | , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2019
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| Assuntos: | |
| Texto completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712019000400401 |
| País: | Brasil |
| Oai: | oai:scielo:S1678-69712019000400401 |