Predicting Exchange Rates Using the Kalman Filter

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62690094%3A18450%2F20%3A50017045" target="_blank" >RIV/62690094:18450/20:50017045 - isvavai.cz</a>
Result on the web
<a href="https://digilib.uhk.cz/bitstream/handle/20.500.12603/219/Fronckova%2c%20Prazak.pdf?sequence=1&isAllowed=y" target="_blank" >https://digilib.uhk.cz/bitstream/handle/20.500.12603/219/Fronckova%2c%20Prazak.pdf?sequence=1&isAllowed=y</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.36689/uhk/hed/2020-01-018" target="_blank" >10.36689/uhk/hed/2020-01-018</a>

Result language
angličtina
Original language name
Predicting Exchange Rates Using the Kalman Filter
Original language description
The Kalman filter is one of the classical algorithms of statistical estimation theory, which finds application in many different areas, including econometrics. One of the possible problems for which the Kalman filter can be suitably employed is the exchange rate prediction. Over the course of time, various authors have investigated the possibility of using the forward rate to predict the future spot rate. In general, however, it has been shown that the accuracy of the predictions based on the assumed equality between the forward rate and the future spot rate is not very satisfactory. The paper deals with the presentation and empirical evaluation of the possibilities of using the Kalman filter in predicting the future spot rate on the basis of the forward rate. Various models for describing the relationship between these rates are presented and their predictive performance is then assessed on the exchange rate data of currency pairs EUR/CZK and USD/CZK. The results show the benefits of using the Kalman filter.
Czech name
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Czech description
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Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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