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Category > Accounting Posted 28 Apr 2017 My Price 5.00

Forecasting foreign exchange rates

Forecasting foreign exchange rates. T. C. Chiang considered several time series forecasting models of future foreign exchange rates for U.S. currency (Journal of Financial Research, Summer 1986). One popular theory among financial analysts is that the forward (90-day) exchange rate is a useful

predictor of the future spot exchange rate. Using monthly data on exchange rates for the British pound for n = 81 months, Chiang fitted the model

(a) Is the model useful for predicting future spot exchange rates for the British pound? Test using α = .05.

(b) Interpret the values of s and R2.

(c) Is there evidence of positive autocorrelation among the residuals? Test using α = .05.

(d) Based on the results of parts a–c, would you recommend using the least squares model to forecast spot exchange rates?

 

Answers

Alpha Geek
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Status NEW Posted 28 Apr 2017 12:04 PM My Price 5.00

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file 1493381000-Answer.docx preview (144 words )
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