Applications of Grey Models in the Analysis of Financial Time Series. The Forex Market Example.
Applications of Grey Models in the Analysis of Financial Time Series. The Forex Market Example.

Author(s): Stanisław Barczak
Subject(s): Methodology and research technology, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: econometrics; grey models; time series; smoothing;
Summary/Abstract: Gray models represent a class of models that allows forecasting processes using incomplete information. This article will present a gray model GM (1,1) and its modification in the form of a rolling model GM (1,1). For the lower level advantages of the gray models is the possibility of their use for very short time series for which it is impossible to estimate the basic parameters as well as the identification of the probability distribution.

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