%0 Journal Article
%T RESULTS OF INTERBANK EXCHANGE RATES FORECASTING USING STATE SPACE MODEL
%A Muhammad Kashif
%A Islam-ud-Din Shehzad
%A S.M. Bokhari
%A Niyyar Munir
%J Pakistan Journal of Statistics and Operation Research
%D 2008
%I University of the Punjab
%R 10.1234/pjsor.v4i2.54
%X This study evaluates the performance of three alternative models for forecasting daily interbank exchange rate of U.S. dollar measured in Pak rupees. The simple ARIMA models and complex models such as GARCH-type models and a state space model are discussed and compared. Four different measures are used to evaluate the forecasting accuracy. The main result is the state space model provides the best performance among all the models.
%U http://www.pjsor.com/index.php/pjsor/article/view/54