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Ying & Yen

Ying & Yen. Carson Marries Anthony Mader Mickey Sun Edgar Torres Alex Vicente. Ying & Yen. Carson Moko Anthony Kamakazi Mickey Sumimato Edgar Terriaki Alex Yamamuchi. Data. From 1971 to Present (Monthly) 387 Observations Federal Reserve Bank St Louis (Fred).

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Ying & Yen

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  1. Ying & Yen Carson Marries Anthony Mader Mickey Sun Edgar Torres Alex Vicente

  2. Ying & Yen Carson Moko Anthony Kamakazi Mickey Sumimato Edgar Terriaki Alex Yamamuchi

  3. Data • From 1971 to Present (Monthly) • 387 Observations • Federal Reserve Bank St Louis (Fred)

  4. Exploratory Data Analysis

  5. Exploratory Data Analysis

  6. Exploratory Data Analysis

  7. Exploratory Data Analysis

  8. Breaking Yen into Change $ • Ln, Difference • Fractional Change • Pre-Whitening

  9. Breaking Yen into Change $

  10. Breaking Yen into Change $

  11. Breaking Yen into Change $

  12. Modeling ARMA

  13. Modeling ARMA

  14. Residual^2 • Checking Periods of High Variance

  15. Residual^2

  16. ARCH - GARCH

  17. ARCH - GARCH

  18. Residual Squared of the ARCH-GARCH Model

  19. Forecast Yen Exchange ARMA- Forecast ARMA with ARCH-GARCH Forecast

  20. Conclusion • Our model forecasts a relatively flat fractional change in the ¥/$ over the next twelve months. • We have more confidence in our second model because the ARCH-GARCH terms account for periods of high variance.

  21. Questions?

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