China-USA Business Review, Volume (8), No (6), Year (2009-6) , Pages (22-29)

Title : ( Application of ANFIS to exchange rate forecasting )

Authors: S. M. Fahimifard , Masuod Homayounifar , M. Salarpor , M. Sabuhi , S. Shirzadi ,

Citation: BibTeX | EndNote

The need of exchange rate forecasting in order to preventing its disruptive movements has engrossed many policy-makers and economists for many years. The determinants of exchange rate have grown manifold making its behavior complex, nonlinear and volatile so that nonlinear models have better performance for its forecasting. In this study the accuracy of ANFIS as the nonlinear model and ARIMA as the linear models for forecasting 2, 4 and 8 days ahead of daily Iran Rial/€ and Rial/US was compared. Using forecast evaluation criteria we found that nonlinear model outperforms linear model in all three horizons.

Keywords

ANFIS; ARIMA; exchange rate;
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@article{paperid:1014970,
author = {S. M. Fahimifard and Homayounifar, Masuod and M. Salarpor and M. Sabuhi and S. Shirzadi},
title = {Application of ANFIS to exchange rate forecasting},
journal = {China-USA Business Review},
year = {2009},
volume = {8},
number = {6},
month = {June},
issn = {1537-1514},
pages = {22--29},
numpages = {7},
keywords = {ANFIS; ARIMA; exchange rate; forecasting},
}

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%0 Journal Article
%T Application of ANFIS to exchange rate forecasting
%A S. M. Fahimifard
%A Homayounifar, Masuod
%A M. Salarpor
%A M. Sabuhi
%A S. Shirzadi
%J China-USA Business Review
%@ 1537-1514
%D 2009

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