Page 349 - Special Topic Session (STS) - Volume 3

STS550 Pierre Guérin et al.

12 0.407 0.407 0.407 0.451 0.504 0.717** 0.469 0.655** 0.372 0.354 0.389 0.469 0.487 0.460 0.372 0.425 0.425 0.425 0.389 0.363 0.460 0.443 0.513 0.575 0.584** 0.496 0.443 0.469 0.469 0.460 0.496

9 0.504 0.487 0.469 0.504 0.522 0.726** 0.460 0.620** 0.416 0.443 0.460 0.469 0.319 0.531 0.372 0.504 0.478 0.469 0.451 0.487 0.770** 0.460 0.735** 0.522 0.558** 0.425 0.549 0.478 0.416 0.496 0.496

CAD/USD (Success ratios) EUR/USD (Success ratios) JPY/USD (Success ratios) GBP/USD (Success ratios)
Table 1: Out-of-sample exchange rate forecasting
6 0.522 0.522 0.487 0.566** 0.540 0.620** 0.496 0.584 0.504 0.487 0.540 0.566 0.425 0.558 0.487 0.496 0.504 0.487 0.478 0.451 0.549 0.487 0.549 0.434 0.469 0.531 0.460 0.504 0.513 0.522 0.531

3 0.575* 0.593** 0.513 0.558** 0.566* 0.620* 0.549 0.575 0.540 0.566 0.549 0.575 0.416 0.593** 0.487 0.469 0.451 0.496 0.487 0.496 0.451 0.531 0.531 0.513 0.504 0.531 0.575** 0.558 0.540 0.566 0.540

2 0.602** 0.620** 0.602** 0.584** 0.611** 0.575* 0.620** 0.478 0.487 0.487 0.531 0.540 0.549 0.531 0.496 0.496 0.434 0.504 0.513 0.487 0.478 0.522 0.540 0.540 0.540 0.593** 0.584** 0.531 0.549 0.549 0.478

1 0.637** 0.637** 0.611** 0.540 0.611** 0.575** 0.620** 0.593** 0.549 0.558 0.566* 0.549 0.522 0.531 0.522 0.460 0.460 0.531 0.575** 0.487 0.522 0.478 0.558 0.593** 0.593** 0.611** 0.522 0.566* 0.531 0.549 0.513

12 1.175 1.182 1.157 1.047 1.031 0.941 1.058 1.026 1.138 1.155 1.207 1.095 1.470 1.079 1.845 1.145 1.121 1.117 1.117 1.122 1.051 1.078 1.068 1.091 1.091 1.114 1.088 1.094 1.114 1.119 1.354 Note: This table shows the relative mean square forecast error (RMSFE) for selected currency pairs (CAD/USD, EUR/USD, JPY/USD and GBP/USD) using PCA

9 1.094 1.088 1.095 1.045 0.993 0.919 1.020 1.078 1.085 1.109 1.141 1.036 1.452 1.047 1.476 1.101 1.085 1.074 1.070 1.078 0.763** 1.074 0.763* 1.064 1.064 1.073 1.057 1.064 1.128 1.074 1.397

6 1.001 0.996 0.998 1.017 0.971 0.915 0.994 0.948 1.034 1.061 1.072 1.002 1.210 1.016 1.123 1.070 1.066 1.078 1.039 1.066 1.009 1.043 1.159 1.045 1.043 1.035 1.065 1.032 1.113 1.045 1.361

3 0.980 0.986 0.986 1.033 0.982 0.944 0.987 0.973 1.000 1.010 1.010 0.996 1.269 1.014 1.329 1.108 1.098 1.078 1.050 1.054 1.091 1.055 1.241 1.043 1.023 1.029 1.015 1.010 1.032 1.037 1.302
CAD/USD (MSPE) EUR/USD (MSPE) JPY/USD (MSPE) GBP/USD (MSPE)
2 0.951 0.955 0.949 1.011 0.962 0.892 0.938* 1.057 1.033 1.049 1.028 1.008 1.059 0.985 1.182 1.093 1.111 1.066 1.038 1.060 1.094 1.061 1.240 0.977 0.965 0.953 0.953 0.980 1.083 0.984 1.523 significance at the 10 per cent level. and ** denotes significance at the 5 per cent level).

1 0.871* 0.872* 0.872 0.963* 0.890 0.888** 0.911* 0.946 0.988 0.995 0.961 0.994 1.253 1.005 1.367 1.091 1.081 1.066 1.017 1.031 1.136 1.058 1.345 0.803* 0.796* 0.784* 0.875 0.908* 0.977 0.893 1.392

Forecast horizon PCA TPCA PC-LARS 3PRF MS-3PRF (first pass) MS-3PRF (first and third pass) MSS-3PRF (first pass) MSS-3PRF (first and third pass) PCA TPCA PC-LARS MS-3PRF (first pass) MS-3PRF (first and third pass) MSS-3PRF (first pass) MSS-3PRF (first and third pass) PCA TPCA PC-LARS 3PRF MS-3PRF (first pass) MS-3PRF (first and third pass) MSS-3PRF (first pass) MSS

338 | I S I W S C 2 0 1 9