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Title:	使用最近鄰域法預測匯率—以美元兌新台幣為例 Predicting exchange rates with nearest-neighbors method: The case of NTD/USD
Authors:	郭依帆
Contributors:	郭炳伸郭依帆
Keywords:	最近鄰域法隨機漫步匯率 Nearest-Neighbors Method Random Walk Exchange Rates
Date:	2009
Issue Date:	2016-05-09 14:53:14 (UTC+8)
Abstract:	建立模型來估計匯率早已行之有年。較早期的匯率模型，不論是在樣本內的配適或是樣本外的預測，其實表現的並不理想。之後的研究針對這樣的結果指出，這是因為匯率的表現是非線性的，並非傳統線性模型可描繪出來。而對於捕捉匯率非線性的特性，傾向使用無母數的估計方式。因此，本研究採用最近鄰域法進行美元兌新台幣的匯率預測。另外，許多早期的研究發現，隨機漫步模型與其他模型相比較之後，在匯率預測上的表現最好，因而引發了”打敗隨機漫步”的一連串熱潮。本研究欲延續這項議題，將隨機漫步模型做為與最近鄰域模型比較的基準。 A wide variety of empirical exchange rate models have been estimated over the years. Earlier findings indicated that exchange rate equations do not fit particularly well, and forecast no better. Later researches then provided a potential reason for the poor performance that traditional exchange rate models, because they are nonlinear. To find a resolution for nonlinearity, nonparametric techniques tend to be useful tools. In this study, we use one of nonparametric techniques called nearest-neighbors method to predict NTD against USD. Besides, many earlier papers found that forecasts from popular models for the foreign exchange rate generally fail to improve upon the random walk out-of-sample. “Beat the random walk” became an emerging issue then. This has motivated this research, and thus we include the random walk as a linear benchmark.
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Description:	碩士國立政治大學國際經營與貿易學系 96351028
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0096351028
Data Type:	thesis
Appears in Collections:	[Department of International Business] Theses

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