A Study of the USDX Predication Based on ARIMA and GARCH Models

摘要：

In order to predict and describe the volatility of the U.S. dollar index, the ARIMA and GARCH models are used to study the U.S. dollar index respectively. After establishing two time series models, we find that there are differences in predicting future trends of the U.S. dollar index between two models. The results show that ARIMA model is a proper short- term forecasting method. It is effective when predicting for a month. The GARCH model is a proper method for forecasting the U.S. dollar index for a longer term, and the satisfactory results of the longer-term forecast are obtained.

关键词： US Dollar Index Forecast ARIMA GARCH

作者: Zhiwei LIU Ya LV

作者单位: School of Economics and Management,University of Science and Technology BeijingBeijing, 100083, Chin School of Economics and Management, University of Science and Technology Beijing Beijing, 100083, Ch

会议类型: 国际会议

会议名称: 2011 Fourth International Conference on Business Intelligence and Financial Engineering(第四届商务智能与金融工程国际会议 BIFE2011)

会议地点: 武汉

会议语种:英文

页码: 82-85

在线出版日期: 2011-10-17（万方平台首次上网日期，不代表论文的发表时间）