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Exchange Rate Forecasting: An Application with Model Averaging Techniques
Mida, Jaroslav ; Horváth, Roman (advisor) ; Bobková, Božena (referee)
The exchange rate forecasting has been an interesting topic for a long time. Beating the random walk model has been the goal of many researchers, who applied various techniques and used various datasets. We tried to beat it using bayesian model averaging technique, which pools a large amount of models and the final forecast is the average of forecasts of these models. We used quarterly data from 1980 to 2013 and attempted to predict the value of exchange rate return of five currency pairs. The novelty was the fact that none of these currency pairs included U.S. Dollar. The forecasting horizon was one, two, four and eight quarters. In addition to random walk, we also compared our results to historical average return model using several benchmarks, such as root mean squared error, mean absolute error or direction of change statistic. We found out that bayesian model averaging can not generally outperform random walk or historical average return, but in specific setting it can produce forecasts with low error and with high percentage of correctly predicted signs of change.
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Technical analysis of exchange rate of developed versus developing country and its extension by fundamental factors
Novák, Michal ; Šíma, Ondřej (advisor) ; Kováč, Michal (referee)
Bachelor thesis aims on the use of technical´s analysis elementary methods for exchange rate prediction in a very long term based on the level of development of the economy. It simulates an investment in canadian dollar and mexican peso using technical analysis. In another part the thesis discusses use of some fundamental indicators. It concludes that technical analysis might be used for exchange rate prediction in the long term, while it is better not to focus on one method only. Technical analysis could neither predict nor correctly react to mexican monetary crisis, therefore it is appropriate to take fundamental indicators into account. Simulation´s results are relatively low but stable earnings for developed economy and significant loses and earnings for developing economy depending on the chosen method.
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Předvídání vývoje měnového kurzu
Yablonskyy, Karen ; Taušer, Josef (advisor) ; Čajka, Radek (referee)
The aim of this thesis is to analyze the foreign exchange currency forecasting techniques. Moreover the central idea behind the topic is to develop the strategy of forecasting by choosing indicators and techniques to make own forecast on currency pair EUR/USD. This thesis work is a mixture of theory and practice analyses. The goal during the work on this project was to study different types of forecasting techniques and make own forecast, practice forecasting and trading on Forex platform, based on acquired knowledge.
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