An Improved Dynamic Bayesian for Exchange Rate Forecasting

Mingjuan Xu, Zhengyu Liu

Abstract


A feasibility study of using of Dynamic Bayesian Networks in combination with ARMA modeling in exchange rate prediction is presented. A new algorithm (ARMA-DBN) is constructed and applied to the exchange rate forecast of RMB. Results show that the improved dynamic Bayesian forecast algorithm has better performance than the standard ARMA model.


Keywords


Dynamic Bayesian Network; ARMA Model; Exchange Rate Forecasting

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DOI: http://dx.doi.org/10.12928/telkomnika.v14i3A.4410

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