پيش بيني نرخ ارز با مدل هاي عصبي- فازيِ ANFIS، شبكه عصبي- خودرگرسيونيِ NNARX و خودرگرسيونيِ ARIMA در اقتصاد ايران (87-1381)

Iranʹs Exchange Rate Forecasting Using ANFIS, NNARX & ARIMA Models (2002-2008)

Monetary policy makers have been engrossed continually to discover the suitable method for exchange rate forecasting in order to preventing its disruptive movements. But exchange rate movementʹs manifold determinants cause to its complex and nonlinear behavior. Nonlinear models have better performance for its forecasting. Therefore, in this study the performance of nonlinear models such as ANFIS and NNARX and linear model such as ARlMA were compared in Iranʹs Rial/US$ & Rial/€ for 2, 4 and 8 days ahead via most important forecast performance criteria and daily data related to 20 March 2002- 21 November 2008. Results indicated that ANFIS and NNARX models have better performance in comparison with ARlMA model, and ANFIS model outperforms NNARX model in all horizons of Iranʹs Rial/US$ & Rial!€ exchange rate forecasting.