Comparison between MEMD-LSSVM and MEMD-ARIMA in forecasting exchange rate

• Main Authors: Rashid, N. I. A., Shabri, A., Samsudin, R.
• Format: Article
• Language: English
• Published: Asian Research Publishing Network 2017
• Subjects: Q Science (General)
• Online Access: http://eprints.utm.my/id/eprint/76658/1/AniShabri2017_ComparisonBetweenMEMDLSSVMandMEMD.pdf; http://eprints.utm.my/id/eprint/76658/; https://www.scopus.com/inward/record.uri?eid=2-s2.0-85011702026&partnerID=40&md5=97eec37d7e81b89bbbc91b92cd13cc0c
• Institution: Universiti Teknologi Malaysia

Due to the non-stationary and non-linearity behaviors of exchange rate data, an appropriate forecasting model that can capture these behaviors is crucial. This paper comparing the performance of modified empirical mode decomposition (EMD) and autoregressive integrated moving average (ARIMA) named as...