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Comparsion of Markov Switching Autoregresive and Self Exciting Threshold Autoregresive Models for Fluctuations of Exchange Rate of Iran
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Hamidreza Mostafaei *   , Maryam Safaei |
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Abstract: (25731 Views) |
| In 2002 the enforcement on policy unification of exchange rate caused dramatic decrease in the nominal price of Iran's Rial against U.S.dollar per on unit.For this reason due to the existence of unexpected and large change we cannot use the linear time series models for surveying the fluctuations of the rate of Iran's Rial change against U.S. dollar per on unit. In this paper we compare Self-Exciting threshold autoregressive and Markov switching autoregressive model. then it will be show that only the Markov switching autoregressive model being able to show the behaviors of Iran's exchange rate. |
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| Keywords: Markov switching autoregressive model, Self-exciting threshold autoregressive model, Fluctuations of Iran's exchange rate |
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Full-Text [PDF 1342 kb]
(5994 Downloads)
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Type of Study: Applied |
Subject:
Applied Statistics
Received: 2011/08/3 | Accepted: 2011/08/3 | Published: 2020/02/18
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