Title :
Chinese Exchange Rate Forecasting Based on the Application of Grey System DGM(2, 1) Model in Post-Crisis Era
Author :
Wu, Hong ; Chen, Fuzhong
Author_Institution :
Sch. of Econ. & Int. Trade, Zhejiang Univ. of Finance & Econ., Hangzhou, China
Abstract :
Taking RMB exchange rate to YEN from December 2009 to June 2010 for example, grey system DGM (2, 1) model is employed to explore and forecast the exchange rate changing trend empirically. Based on the simulation and computation process, the forecasting accuracy is high to 95.84% and the computing works and pre-forecasting information are small and little, so it indicates the effectiveness of DGM (2, 1) model. And the forecasting change trend is in line with the actual situations, which proves the robustness of the forecasting model. Summing up the two aspects, the applicability of the grey system DGM (2, 1) model can be revealed significantly.
Keywords :
economic forecasting; exchange rates; grey systems; Chinese exchange rate forecasting; RMB exchange rate; computation process; grey system; simulation process; 1) Model; DGM(2; Exchange Rate Forecasting; Grey System Theory; Methodology Application; Post-Crisis Era;
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering (ICIII), 2010 International Conference on
Conference_Location :
Kunming
Print_ISBN :
978-1-4244-8829-2
DOI :
10.1109/ICIII.2010.147
