[R-SIG-Finance] medium term Curreny/fx forecasting ( with ar ma arma + garch ? )

ce zadig_1 at excite.com
Wed Feb 26 16:50:31 CET 2014


Dear all,

 I would like to get your expert opinion (from experience),  what is the best way to forecast medium term ( weeks to months )
 currency rates. Do auto regressive models like ar ma arma , farima etc with garch work ?
I read another thread in this group titled "Modeling FX rates" dated 15 Jan 2014, Dominykas pointed out "Exchange rates are not mean reverting".
Thanks a lot for reading. 
CE.



More information about the R-SIG-Finance mailing list