CORRECTION OF FORECASTS OF INTERRELATED CURRENCY PAIRS IN TERMS OF SYSTEMS OF BALANCE RATIOS

• Main Author: Gertsekovich D. A.
• Format: Article
• Language: Russian
• Published: Novosibirsk State University Press 2015-03-01
• Series: Vestnik Novosibirskogo Gosudarstvennogo Universiteta. Seriâ: Socialʹno-Èkonomičeskie Nauki
• Subjects: валютный рынок; балансовые соотношения; прогноз валютного курса; модель авторегрессии; прогнозкурсов взаимосвязанных валютных пар; корректировка прогнозов; exchange market; balance ratios; exchange rate forecast; autoregression model; forecast of interrelated currency pairs rates; correction of forecasts
• Online Access: https://nsu.ru/ef/vestnik_ngu_ef/2015_1_6

In this paper the problem of exchange rates forecast is logically considered a) traditionally as a task of forecast on the base of «stand-alone» equations of autoregression for each currency pair and b) as a result of forecast correction of autoregression equations system on the base of boundary conditions of balance ratios systems. As a criterion for quality of forecast constructed with empirical models we take the sum of deficiency quadrates of forecasts estimated for deductive currency pairs. Practical approval confirmed that deductive models meet common requirements, provide accepted precision, show resistance to initial data and are free from series of deficiency of one index. However, extreme forecast errors tell that practical application of the approach offered needs further improvement.