In an economy that applying the free currency rate regime, the Exchange rate is not constant, it represents the fluctuations with time. In this study, the analysis completely based on the historical Exchange rate data. Therefore Exchange rate data can be considered as grey value. Traditional grey models try to describe the evaluation the original data. But those models are not a suitable tool for non-‐stationary random data. For this reason, in this study, we use the grey Markov model. A Markov chain which the future evaluation only depend on present state it’s no dependency to previous states, so a Markov chain can be used to model the unstable systems. The future values of system can be predicted using the grey model. In the grey Markov model approximation, firstly Exchange rate estimated by GM(1,1) model and the error is obtained as difference between the estimated value and real data. This new series is divided into finite state. Then observing the transients between the states Markov probability matrix is obtained. The future values time series are predict by this matrix. Grey Markov model which is constructed by GM (1,1) model and Markov chain, allow us to make the beter estimation for exchange rate. In this study, daily TL/USD Exchange rate data is used. The data is collected from TCMB. Finally it has determined that the grey Markov model is a good approximation to predict the currency Exchange rate. GRİ MARKOV KESTİRİM MODELİ KULLANILARAK DÖVİZ KURU TAHMİNİ
Alan : Sosyal, Beşeri ve İdari Bilimler
Dergi Türü : Ulusal
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