Time Series Forecasting of Hong Kong Inter-bank Offered Rate(HIBOR)using Exponential Smoothing State Space Model
作者机构：Hong Kong Polytechnic UniversityHong KongChina Hong Kong Nang Yan College of Higher EducationHong KongChina
出 版 物：《Economics World》 (经济世界（英文版）)
年 卷 期：2023年第10卷第1期
页 面：43-48页
学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学]
基 金：a grant from the College of Professional and Continuing Education an affiliate of The Hong Kong Polytechnic University
主 题：HIBOR forecast multiple seasonal
摘 要：This paper set out to analyze and forecast the Hong Kong Interbank Interest Rate(HIBOR)for a period 2006 to *** main objective of this study is to propose an appropriate time series forecasting model for *** conceptually captures the interaction between demand and supply of Hong Kong dollar in the interbank *** volatility of HIBOR reflects market sentiment,changes in underlying macroeconomic environment,random events and even political ***,the time series data of HIBOR appears to have multiple seasonality during the aforesaid *** TBATS model,the state space modeling framework developed by De Livera,Hyndman and Snyder(2010)is adopted for this study to improve the accuracy and efficiency of the time series modeling and forecasting of *** TBATS model incorporates Box-Cox transformations,Fourier representations with time varying coefficients,and ARMA error *** evaluation and analytical expressions for point forecasts and interval predictions under the assumption of Gaussian errors are derived,leading to a simple,comprehensive approach to forecasting complex seasonal time *** addition,the trigonometric formulation is used as a means of decomposing complex seasonal time series,which helps to identify and extract seasonal components which are otherwise not apparent in the time series plot *** performance of the TBATS model as evaluated by measures of forecast error are presented.
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