A Modified Model of Fuzzy Time Series for Forecasting Exchange Rates

摘要

Financial forecasting has become an important and challenging task for both researchers and investors. In order to improve the forecasting accuracy rate, in this paper, a modified heuristic model of fuzzy time series using FCM is proposed. Using the daily prices of USD/JPY and USD/CHY exchange rates as testing data, the empirical results show that the proposed method is able to get better forecasting results and higher accuracy than those of traditional econometric methods and some existing models of fuzzy time series.