Forecasting exchange rate of Kina against AUD using artificial neural network and time series models
by Mohammad G.M. Khan; Shamsuddin Ahmed; Biman Prasad
International Journal of Business Forecasting and Marketing Intelligence (IJBFMI), Vol. 2, No. 1, 2015

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.

Online publication date: Tue, 15-Mar-2016

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