The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Multivariate exponential smoothing models with application to exchange rates

다변량 지수평활모형을 이용한 환율 분석

  • Lee, Yeonha (Department of Applied Statistics, Chung-Ang University) ;
  • Seong, Byeongchan (Department of Applied Statistics, Chung-Ang University)
  • 이연하 (중앙대학교 응용통계학과) ;
  • 성병찬 (중앙대학교 응용통계학과)
  • Received : 2020.02.04
  • Accepted : 2020.03.17
  • Published : 2020.06.30
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Abstract

We introduce multivariate exponential smoothing models based on a vector innovations structural time series framework. The models enable us to exploit potential inter-series dependencies to improve the fit and forecasts of multivariate (vector) time series. Models are applied to forecast the exchange rates of the UK pound (UKP) and US dollar (USD) against the Korean won (KRW) observed on monthly basis; subseqently, we compare their performance with alternative models. We observe that the multivariate exponential smoothing models are superior to alternatives.

본 논문은 단변량 지수평활법의 확장된 형태인 다변량 지수평활법을 소개하고 다변량 시계열 분석에 활용한다. 다변량 지수평활법은 한 개의 오차를 기반으로 하는 상태공간모형을 이용하여 추정의 편리성을 제고하며, 다변량 시계열간의 잠재적인 상호연관성을 활용하여 적합도 및 예측력을 향상시킨다. 다변량 지수평활법의 성능을 평가하기 위하여 월별 원/달러 및 원/파운드 환율자료를 분석하고 예측한다. 대안 모형의 예측 결과와 비교하여 다변량 지수평활법의 우수성을 확인한다.

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References

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