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Automatic Daily Multiscale Autoregressive Forecast

USD, EUR and GBP Interbank Exchange Rates

Day: 2005 01 14


Plots of Historical Data and 5-Step Ahead Predictions

The abscissa in these plots gives daily values from 1999 01 01. The ordinate is the number of (for example) USD equal to 1 EUR. The last 5 values are predicted using a multiscale autoregressive (MAR) model. The wavelet transform used is the Haar à trous transform.





5-Step Ahead Predictions

Columns in the following are

  1. USD-EUR rate, i.e. x USD = 1 EUR
  2. EUR-GBP rate, i.e. x EUR = 1 GBP
  3. GBP-USD rate, i.e. x GBP = 1 USD
  4. USD-EUR rate derived from latter two (i.e. EUR-GBP, and GBP-USD)
  5. Geometric average of 1 and 4, i.e. an averaged USD-EUR rate.



   1.326   1.425   0.530   1.324   1.325
   1.326   1.426   0.530   1.324   1.325
   1.329   1.425   0.529   1.327   1.328
   1.331   1.425   0.528   1.330   1.330
   1.333   1.424   0.527   1.332   1.333


For further information, including documentation, see http://www.multiresolution.com under MR/Finance.
Contact: fmurtagh@multiresolution.com.