Research of RMB Exchange Rate Forecasting based on NARX Model with NDF

摘要：

　　Nonlinear Auto Regressive models with exogenous Inputs which we use NARX for short,is a branch of Artificial Neural Network.As the forecasting of exchange rate is a nonlinear problem,in this paper,we use NARX model to forecast the RMB exchange rate.To NARX models,selection of input variables has significant influence on the accuracy of the forecasting results.This paper selects non-deliverable forward exchange rate,which is known as NDF,as an external input,use data before and after the reform of the RMB exchange rate during to do the forecasting,and achieved good results.

关键词： Nonlinear Auto Regressive NARX model forecasting NDF

作者: Wang Nan Hou Tieshan

作者单位: Department of Management and Economics,Dalian University of Technology,Dalian,China,116024

会议类型: 国际会议

会议名称: the 5th (2013)International Conference on Financial Risk and Corporate Finance Management(第五届(2013)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 425-434

在线出版日期: 2013-06-29（万方平台首次上网日期，不代表论文的发表时间）