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)
Breaking Yen into Change $ • Ln, Difference • Fractional Change • Pre-Whitening
Residual^2 • Checking Periods of High Variance
Forecast Yen Exchange ARMA- Forecast ARMA with ARCH-GARCH Forecast
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.