汇率波动的预测研究

本文提出的多层递阶－灰色预测综合预测法是运用多层递阶法，通过辨识时变参数，建立时变参数动态预测模型，并在此基础上进一步运用灰色预测方法，通过对时变参数的预测来预测汇率波动．实例表明：本法与非时变多项式回归预测比较，有效提高了预测精度

Forecasting Exchange Rate Using MHGPM

In this study, we use the multilayer hierarchical and gray prediction methods (MHGPM) to estimate and forecast non linear structure in weekly exchange rate. The first step is to build a dynamic system method on the exchange rate, and to calculate the time varying parameters. To forecast the time varying parameters, we use the method of gray prediction. By the provided example, it is proved that MHGPM can significantly enhance the precision of the prediction.