An Econometric Study of Forecasting French Foreign Exchange Rates

Augustine C. Arize, Ioannis N. Kallianiotis, John Malindretos, Alexis Panayides, Cheickna Sylla
International Journal of Finance, Insurance and Risk Management, Volume 11, Issue 1, 3-14, 2021
DOI: 10.35808/ijfirm/245


Purpose: The objective of this paper is to study possible diversity of exchange rate models, by applying both parametric and nonparametric techniques, and examines said models’ collective predictive performance. Design/Methodology/Approach: We shall choose the forecasting predictor with the smallest Root Mean Square Forecast Error (RMSE). The better type of exchange rate model is in the Autoregressive model’s equation, according to the empirical evidence, although none of this data yields an optimal forecast. Findings: In our conclusion, the error correction versions of these exchange rate models will be adjusted so that credible long-run elasticities can be imposed on each model’s fundamental variables.

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