# Two Are Better than One?

Authors
Ming-Yuan Li 0
Corresponding Author
Ming-Yuan Li
0National Cheng Kung University, Taiwan
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DOI
https://doi.org/10.2991/jcis.2006.132How to use a DOI?
Keywords
Chartist, fundamentalist, exchange rate, volatility
Abstract
In this paper we adopt the Markov-switching specification to establish the hybrid model with time-varying loading on each of chartist and fundamentalist techniques. The US dollar exchange rates of four Asian tiger countries’ currencies serve as the representative examples in this paper. Our empirical results demonstrate that the statistic significances and better forecasting appearances of the hybrid model with non-constant weight relative to single technique and the random walk model. In contrast, the performances of the hybrid model with constant weight are trivial. Moreover, the state of chartist (fundamentalist) is associated with the smaller (bigger) volatility measure.
Open Access

Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Publication Date
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ISBN
978-90-78677-01-7
DOI
https://doi.org/10.2991/jcis.2006.132How to use a DOI?
Open Access

TY  - CONF
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