The Comparative Comparison of Exchange Rate Models

Authors

  • Kamran Mahmodpour PhD in Economics, University of Sistan and Baluchestan, Zahedan, Iran
  • Yaser Sistani Badooei lecturer, faculty member of economics department, baft higher education center, shahid bahonar university of kerman, kerman, iran
  • Hadiseh Mohseni Department of Sama, Shirvan Branch, Islamic Azad University, Shirvan, Iran
  • Saman Veismoradi University of Sistan and Baluchestan, Zahedan, Iran

Abstract

One of the most important and effectiveness of macroeconomics variables is prediction of future exchange rate trend which heavily considered by economic scholars. Its changes affects different parts of economic, thus it is necessary to model it to provide more suitable economic advising. In order to do that, in this paper we have used SARIMA, ARCH and GARCH models to simulate the time series trends of exchange rate in Iranian non-official market. The results show that GARCH (Generalized Autoregressive Conditional Heteroskedastistiy) provides better and more acceptable outputs than SARIMA.Keywords: SARIMA, ARCH, GARCH, Exchange RateJEL Classifications:  C22, C32, E31, E32

Downloads

Download data is not yet available.

Downloads

Published

2016-04-19

How to Cite

Mahmodpour, K., Sistani Badooei, Y., Mohseni, H., & Veismoradi, S. (2016). The Comparative Comparison of Exchange Rate Models. International Journal of Economics and Financial Issues, 6(2), 380–385. Retrieved from https://econjournals.com/index.php/ijefi/article/view/1543

Issue

Vol. 6 No. 2 (2016)

Section

Articles
Views
  • Abstract 161
  • PDF 193