為替レートの構造モデルと予測能力 : アウトオブサンプル評価とその意義

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  • Forecasting Accuracy of Structural and Time Series Exchange Rate Models: The Out-of-sample Test and Its Purpose

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How many structural and times series exchange rate models fit the out-of-sample test? Can we predict future foreign exchange rates? These are major questions for practitioners in the global financial and business environment. And there are no fixed, final conclusions. It all depends on the purpose of predictions, forecasting period, available data and knowledge of statistics and modeling by the people involved. This paper does not provide a miracle solution but offers basic guidelines to design appropriate evaluation processes. The complete programming codes are open for public via GitHub. The basic guidelines consist of two evaluation methods (the forecasting direction of FX movements and forecasting accuracy), two model specifications (the first difference and VECM), multistep forecast and the out-of-sample test with cross validation. Readers can modify the process to suit their own purposes and easily and efficiently evaluate them by altering programing codes.

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  • 企業研究

    企業研究 (37), 101-123, 2020-08-31

    企業研究所

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