Two Are Better than One?
- https://doi.org/10.2991/jcis.2006.132How to use a DOI?
- Chartist, fundamentalist, exchange rate, volatility
In this paper we adopt the Markov-switching specification to establish the hybrid model with time-varying loading on each of chartist and fundamentalist techniques. The US dollar exchange rates of four Asian tiger countries’ currencies serve as the representative examples in this paper. Our empirical results demonstrate that the statistic significances and better forecasting appearances of the hybrid model with non-constant weight relative to single technique and the random walk model. In contrast, the performances of the hybrid model with constant weight are trivial. Moreover, the state of chartist (fundamentalist) is associated with the smaller (bigger) volatility measure.
- © 2006, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Ming-Yuan Li PY - 2006/10 DA - 2006/10 TI - Two Are Better than One? BT - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06) PB - Atlantis Press SN - 1951-6851 UR - https://doi.org/10.2991/jcis.2006.132 DO - https://doi.org/10.2991/jcis.2006.132 ID - Li2006/10 ER -