Dynamic behavior of exchange rate by using chaos theory model / Nurafiqah Idris, Nuradlin Sofiya Hasrezal and Siti Nur Syahira Shahrolnizam
Exchange rate is known as the relative national price level between two economies with the corresponding nominal exchange rate as an auxiliary to convert the account unit to calculate two price level in a single currency. In other words, this represents how many units a consumer can buy from a forei...
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| Main Authors: | , , |
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| Format: | Student Project |
| Language: | English |
| Published: |
2019
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| Subjects: | |
| Online Access: | http://ir.uitm.edu.my/id/eprint/39152/1/39152.pdf http://ir.uitm.edu.my/id/eprint/39152/ |
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| Summary: | Exchange rate is known as the relative national price level between two economies with the corresponding nominal exchange rate as an auxiliary to convert the account unit to calculate two price level in a single currency. In other words, this represents how many units a consumer can buy from a foreign currency with one unit of their home currency. It is important to know the behavior of the data whether it is linear or non-linear and chaotic or non-chaotic. So that, by using the right forecasting method will increase the accuracy of the result. Thus, in this project, we conduct the Brock-Dechert-Scheinkman (BOS) test to check the linearity of the data. In case the data is non-linear, the presence of chaos in the data will be checked by using 0-1 test and Lyapunov exponent. In order to increase the accuracy of the performance of the method 0-1 test, the range of value random number, c is tested. In this project, the result for all 30 exchange rate shows non-linear and non¬ chaotic behavior. In consequent, it is recommended for the researcher to forecast the data by using non-linear model. |
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