Metamorphosing forex: advancements in volatility forecasting using a modified fuzzy time series framework

The interplay of exchange rates among nations significantly influences both international and domestic trade, underscoring the pivotal role of the foreign exchange market (Forex) in a country's economic landscape. Forex fluctuations have a significant impact on the everyday lives of both govern...

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Bibliographic Details
Published in:Journal of big data 2024-10, Vol.11 (1), p.143-16, Article 143
Main Authors: Bilal, Muhammad, Aamir, Muhammad, Abdullah, Saleem, Norrulashikin, Siti Mariam, Alqasem, Ohud A., Elwahab, Maysaa E. A., Khan, Ilyas
Format: Article
Language:English
Subjects:
American dollar
Astronomical models
Autoregressive integrated moving average
Average forecast error rate
Big Data
Central banks
Communications Engineering
Computational Science and Engineering
Computer Science
Currency
Data Mining and Knowledge Discovery
Database Management
Decision making
Economic development
Economic growth
Economic statistics
Forecasting
Forecasting techniques
Foreign exchange markets
Foreign exchange rates
Forex
Fuzzy sets
Fuzzy time series
Global economy
Information Storage and Retrieval
International trade
Mathematical Applications in Computer Science
Networks
Parameter modification
Set theory
Time series
Trends
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Summary:The interplay of exchange rates among nations significantly influences both international and domestic trade, underscoring the pivotal role of the foreign exchange market (Forex) in a country's economic landscape. Forex fluctuations have a significant impact on the everyday lives of both government agencies and the public population, directly influencing a country's prosperity or misfortune. This work proposes an advanced fuzzy time series model that incorporates domain universe sub-partitioning, parameter adjustment optimization methodologies, and interval forecasting methods. We utilized this model to examine annual exchange rate patterns between the Pakistani rupee (PKR) and the US dollar (US$), comparing its forecast accuracy to that of other models. Our proposed methodology outperformed existing methodologies in terms of forecasting precision, providing stakeholders with valuable insights for making informed, data-driven business decisions that benefit both individual firms and the country overall.
ISSN:2196-1115
2196-1115
DOI:10.1186/s40537-024-01003-7