Forecasting Canadian Dollar against the US Dollar via Combined Approaches
AUTHORS
Atifa Anwar,M. Phil Scholar, Institute of Business Management, Pakistan
ABSTRACT
The purpose of this study is to forecast the Canadian-US dollar exchange rate using both independent and combination models. The fourth model is multivariate, as opposed to the first three, which are univariate. The multivariate model is NARDL, whereas the univariate models are ARIMA, Nave, and Exponential Smoothing. The NARDL is a recent contribution to the literature because it was rarely used for projecting exchange rates in previous studies. The data of exchange rate and other macroeconomic variables ranges from M12011 to M122021. To prevent bias, the authors combine the combination and equally weighted techniques. With a MAPE score of 0.130, the NARDL + Naive model combination outperforms three other solo and combined models.
KEYWORDS
Forecasting, NARDL, ARIMA, Naïve, Combined models
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