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VAR Model To Predict Malaysia/U.S. Foreign Exchange Rate

version 1.0.1 (798 KB) by Kevin Chng
Models VAR using GDP for Malaysia, GDP for U.S. and Malaysia/U.S. Foreign Exchange Rate

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Updated 06 Jun 2019

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This example use https://www.mathworks.com/help/econ/var-model-case-study.html as reference.

Highlights :
Loading data from FRED and transforming the data for stationarity
Partitioning the transformed data into presample, estimation, and forecast intervals
Making several models
Fitting the models to the data
Deciding models with various back-testing techniques
Making forecasts based on the best model

Product Focus :
MATLAB
DataFeed Toolbox (Computational Finance Suite)
Econometric Toolbox (Computational Finance Suite)

[Note : Not advocating any particular strategy, factors or methodology]

Cite As

Kevin Chng (2019). VAR Model To Predict Malaysia/U.S. Foreign Exchange Rate (https://www.mathworks.com/matlabcentral/fileexchange/71767-var-model-to-predict-malaysia-u-s-foreign-exchange-rate), MATLAB Central File Exchange. Retrieved .

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Updates

1.0.1

Change Description

MATLAB Release Compatibility
Created with R2019a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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