Labinskiy K.N., Lutfullaeva M.Zh.Published in:
Global Markets and Financial Engineering (Russian version)
– Volume 3, Number 4 (October-December 2016)

JEL classification: G12, G24, G41

Keywords: model, range of changes in currency quotations, short-term forecasting, volatility


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Abstract:

The article is devoted to the issues of forecasting of currency quotes. The article describes the model of short-term forecasting of the range of changes in currency quotations developed by the authors. The design of the upper and lower boundaries of the forecast corridor is carried out on the basis of the dynamics of the maximum and minimum prices of bars, which is not typical for standard channel indicators, and it is main feature of the model proposed by the authors. The authors have studied the behavior of the model within various values of its parameters. We also tried to determine the most optimal parameter values that ensure the maximum accuracy of the forecast.

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