Name
Title | ||
|---|---|---|
Composing High Event Impact Resistible Model by Interactive Artificial Bee Colony for the Foreign Exchange Rate Forecasting. |
Abstract | ||
|---|---|---|
Taiwan is an isolated island located in the south East Asia. Since Taiwan is lack of nature resources, thus, a huge part of the economy is export-oriented. To stimulate the economy to grow and activate the international trading, the Free Trading Agreement (FTA) is an activator to allow larger quantity of trading over the world. The foreign exchange rate plays the major role affecting the trade surplus in the export-oriented economic system. Hence, a stable and accurate foreign exchange rate forecasting model is important for the economic activity participants. In this paper, the event study method is used to examine 3 international trading related events including the Economic Cooperation Framework Agreement (ECFA), the Taiwan-Japan Bilateral Investment Arrangement (BIA), and the Agreement between Singapore and the Separate Customs Territory of Taiwan, Penghu, Kinmen and Matsu on Economic Partnership (ASTEP) signed between Taiwan and other participants. The foreign exchange rate forecasting models are built by the time-series methods and the computational intelligence method, namely, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH), the Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH), and the Interactive Artificial Bee Colony (IABC), respectively. In the event study, the observation period is chosen to include 70 days for both pre/post-event. The Mean Absolutely Percentage Error (MAPE) value is used to examine the forecasting accuracy of the models. The experimental results indicate that the IABC constructed foreign exchange rate forecasting model is the most capable one to resist the impact caused by the specific events. In other words, the impact results in more significant forecasting error in the GARCH and the EGARCH models, but not in the IABC model. |
Year | DOI | Venue |
|---|---|---|
2016 | 10.1007/978-3-319-48308-5_73 | PROCEEDINGS OF THE INTERNATIONAL CONFERENCE ON ADVANCED INTELLIGENT SYSTEMS AND INFORMATICS 2016 |
Keywords | DocType | Volume |
GARCH,EGARCH,IABC,Foreign exchange rate,Event study | Conference | 533 |
ISSN | Citations | PageRank |
2194-5357 | 0 | 0.34 |
References | Authors | |
0 | 6 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Tsai Pei-wei | 1 | 127 | 15.88 |
| Li-Hui Yang | 2 | 0 | 0.68 |
| Jing Zhang | 3 | 373 | 101.39 |
| Yong-Hui Zhang | 4 | 0 | 0.34 |
| Jui-Fang Chang | 5 | 0 | 1.69 |
| Vaci Istanda | 6 | 0 | 0.34 |