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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vol. 39Modeling and Prediction of the CNY Exchange Rates...

Modeling and Prediction of the CNY Exchange Rates Using RBF Neural Networks versus GARCH Models

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Abstract:

The CNY exchange rates can be viewed as financial time series which are characterized by high uncertainty, nonlinearity and time-varying behavior. Predictions for CNY exchange rates of GBP-CNY and USD-CNY were carried out respectively by means of RBF neural network forecasters and GARCH models. GARCH is a mechanism that includes past variances in the explanation of future variances and a time-series technique that we use to model the serial dependence of volatility. The detailed design of architectures of RBF neural network models, transfer functions of the hidden layer nodes, input vectors and output vectors were made with many tests. While experimental results show that the performance of RBF neural networks for forecasting spot CNY exchange rates is better than that of GARCH, both of them are acceptable and effective especially in short term predictions.

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Periodical:

Applied Mechanics and Materials (Volume 39)

Pages:

375-382

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.39.375

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Online since:

November 2010

Authors:

Zhao Cheng Liu, Xi Yu Liu, Zi Ran Zheng

Keywords:

CNY Exchange Rate, Financial Time Series, Forecaster, GARCH Model, Heteroscedasticity, RBF Neural Network

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