1. Metamorphosing forex: advancements in volatility forecasting using a modified fuzzy time series framework.
- Author
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Bilal, Muhammad, Aamir, Muhammad, Abdullah, Saleem, Norrulashikin, Siti Mariam, Alqasem, Ohud A., Elwahab, Maysaa E. A., and Khan, Ilyas
- Subjects
BOX-Jenkins forecasting ,FOREIGN exchange market ,TIME series analysis ,FOREIGN exchange rates ,U.S. dollar - Abstract
The interplay of exchange rates among nations significantly influences both international and domestic trade, underscoring the pivotal role of the foreign exchange market (Forex) in a country's economic landscape. Forex fluctuations have a significant impact on the everyday lives of both government agencies and the public population, directly influencing a country's prosperity or misfortune. This work proposes an advanced fuzzy time series model that incorporates domain universe sub-partitioning, parameter adjustment optimization methodologies, and interval forecasting methods. We utilized this model to examine annual exchange rate patterns between the Pakistani rupee (PKR) and the US dollar (US$), comparing its forecast accuracy to that of other models. Our proposed methodology outperformed existing methodologies in terms of forecasting precision, providing stakeholders with valuable insights for making informed, data-driven business decisions that benefit both individual firms and the country overall. [ABSTRACT FROM AUTHOR]
- Published
- 2024
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