USP Electronic Research Repository

Forecasting Exchange Rate of Kina against AUD Using Artificial Neural Network and Time Series Models

Khan, Mohammad G.M. and Ahmed, Shamsuddin and Prasad, Biman C. (2015) Forecasting Exchange Rate of Kina against AUD Using Artificial Neural Network and Time Series Models. International Journal of Business Forecasting and Marketing Intelligence, 2 (1). pp. 37-54. ISSN 1744-6635

Full text not available from this repository.

Abstract

In this paper we propose an Artificial Neural Network model for forecasting exchange rate of Kina against AUD. We use daily exchange rate data during the period of 2 January 2008 to 30 November 2012. The proposed model is compared with autoregressive time series model, exponential smoothing with trend; and Holt-Winter multiplicative and adaptive models. The performance of the models was measured by using various error functions such as root square mean error, mean absolute error, mean absolute deviation, and mean absolute percentage error. The results reveal that the proposed ANN model is an efficient tool for forecasting Kina against AUD more accurately.

Item Type: Journal Article
Subjects: H Social Sciences > HC Economic History and Conditions
Divisions: Faculty of Science, Technology and Environment (FSTE) > School of Computing, Information and Mathematical Sciences
Depositing User: Fulori Nainoca
Date Deposited: 08 Jul 2016 10:40
Last Modified: 16 Mar 2017 09:49
URI: http://repository.usp.ac.fj/id/eprint/9049
UNSPECIFIED

Actions (login required)

View Item