International Journal of

ADVANCED AND APPLIED SCIENCES

EISSN: 2313-3724, Print ISSN: 2313-626X

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 Volume 9, Issue 5 (May 2022), Pages: 90-95

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 Original Research Paper

 Title: A study on prediction model estimation of financial assets (exchange rate, KOSPI index, interest rate)

 Author(s): Chang-Ho An *

 Affiliation(s):

 Department of Financial Information Engineering, Seokyeong University, Seoul, South Korea

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 * Corresponding Author. 

  Corresponding author's ORCID profile: https://orcid.org/0000-0001-6415-2757

 Digital Object Identifier: 

 https://doi.org/10.21833/ijaas.2022.05.012

 Abstract:

In this study, financial assets such as exchange rate, KOSPI index, and interest rate (3-year government bond) were predicted using the vector error correction model used in various financial markets. For this purpose, time series data from February 2000 to January 2021 provided by the Bank of Korea were used. To estimate the prediction model, the stability of the time series variables was confirmed by the ADF test, the causal relationship between the time series variables by the Granger causality test, and the cointegration relationship between the time series variables by the cointegration test. In addition, the prediction model was estimated by identifying the model based on the minimum information criterion based on AICC statistics, and the validity of the model was confirmed by the significance test of the cross-correlation matrix and the multivariate Portmanteau test. As the result of forecasting with the estimated prediction model, the exchange rate was predicted to rise steadily, the KOSPI index was predicted to fall, but remain in the mid-3,000 range, and the interest rate (3-year government bond) was predicted to decline. 

 © 2022 The Authors. Published by IASE.

 This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).

 Keywords: Vector error correction model, Granger causality test, Cointegration test, AICC statistics, Multivariate portmanteau test

 Article History: Received 10 December 2021, Received in revised form 25 February 2022, Accepted 5 March 2022

 Acknowledgment 

This research was supported by Seokyeong University in 2021.

 Compliance with ethical standards

 Conflict of interest: The author(s) declared no potential conflicts of interest with respect to the research, authorship, and/or publication of this article.

 Citation:

 An CH (2022). A study on prediction model estimation of financial assets (exchange rate, KOSPI index, interest rate). International Journal of Advanced and Applied Sciences, 9(5): 90-95

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 Figures

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 Tables

 Table 1 Table 2 Table 3 Table 4 Table 5 Table 6 Table 7 Table 8 

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