Subscribe Now Subscribe Today
Science Alert
 
FOLLOW US:     Facebook     Twitter
Blue
   
Curve Top
Journal of Applied Sciences
  Year: 2009 | Volume: 9 | Issue: 20 | Page No.: 3641-3651
DOI: 10.3923/jas.2009.3641.3651
Comparison of ANFIS, ANN, GARCH and ARIMA Techniques to Exchange Rate Forecasting
S.M. Fahimifard, M. Homayounifar, M. Sabouhi and A.R. Moghaddamnia

Abstract:
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. Nonlinear models estimated by various methods can fit a data base much better than linear models. Beside they can learn from examples, are fault tolerant in the sense that they are able to handle noisy and incomplete data, are able to deal with non-linear problems and once trained can perform prediction and generalization at high speed. In this study, the accuracy of ANFIS and ANN as the nonlinear models and GARCH and ARIMA as the linear models for forecasting 2, 4 and 8 days ahead of daily Iran Rial/ and Rial/US$ was compared. Using three forecast evaluation criteria (R2, MAD and RMSE) we found that nonlinear models outperform linear models, GARCH outperforms ARIMA model and ANFIS outperforms ANN model. And consequently the effective role of ANFIS model to improve the Iran’s exchange rate forecasting accuracy can’t be denied.
PDF Fulltext XML References Citation Report Citation
 RELATED ARTICLES:
  •    A Robust Design Approach for GA-based Back Propagation Neural Networks Designed to Classify Data of Different Types
  •    A Fusion Model Integrating ANFIS and Artificial Immune Algorithm for Forecasting Indian Stock Market
  •    A Comparative Study on Box-Jenkins and Garch Models in Forecasting Crude Oil Prices
  •    GARCH Models and the Financial Crisis-A Study of the Malaysian Stock Market
How to cite this article:

S.M. Fahimifard, M. Homayounifar, M. Sabouhi and A.R. Moghaddamnia, 2009. Comparison of ANFIS, ANN, GARCH and ARIMA Techniques to Exchange Rate Forecasting. Journal of Applied Sciences, 9: 3641-3651.

DOI: 10.3923/jas.2009.3641.3651

URL: https://scialert.net/abstract/?doi=jas.2009.3641.3651

 
COMMENT ON THIS PAPER
 
 
 

 

 
 
 
 
 
 
 
 
 

 
 
 
 
 
 
 

       

       

Curve Bottom