Forecasting the Exchange Rate between AUD and USD with HAR model

Abstract

The exchange rate is essential to global financial markets. Based on the approximate long memory Heterogeneous Autoregressive (HAR) model proposed by Corsi, we estimate the volatility using 5-minute high-frequency data on the US dollar exchange rate against the Australian dollar from January 15, 2019, to September 16, 2021. The HAR-RV model performs well in describing volatility and forecasting accuracy. The empirical results indicate that daily, weekly, and monthly volatility positively influences exchange rate volatility, especially in the mid-term and the long-term. This paper provides a forecasting method to predict exchange rate volatility

Analisis Peramalan (Forecasting) Penjualan Dengan Metode ARIMA (Autoregressive Integrated Moving Average) Pada Huebee Indonesia

“…Metode yang digunakan adalah model HAR-RV. Adapun Hasil dari penelitian ini adalah menganalisis dampak volatilitas harian, mingguan, dan bulanan terhadap volatilitas nilai tukar periode lag 1, yang diterapkan pada analisis prediksi nilai tukar sampel RV antara USD dan AUD dan mengevaluasi berdampak pada pasar nilai tukar [7]. Penelitian kelima membahas tentang Peramalan Beban Listrik.…”