Chinese Currency Exchange Rates Forecasting with EMD-Based Neural Network

Table 9

comparisons for CNY and CNH.

	1-day	5-day	10-day	20-day	30-day
Panel A: CNY
EMD(-1)-MLP(5,3)
EMD(-2)-MLP(5,3)
EMD(-3)-MLP(5,3)
EMD(0)-MLP(3)
EMD(0)-MLP(5,3)
EMD(-1)-MLP(3)
EMD(-1)-MLP(5,3)
EMD(-2)-MLP(3)
EMD(-2)-MLP(5,3)
Panel B: CNH
EMD(-1)-MLP(5,3)
EMD(-2)-MLP(5,3)
EMD(-3)-MLP(5,3)
EMD(0)-MLP(3)
EMD(0)-MLP(5,3)
EMD(-1)-MLP(3)
EMD(-1)-MLP(5,3)
EMD(-2)-MLP(3)
EMD(-2)-MLP(5,3)

Consider both the CNY and CNH from January 3, 2011, to December 21, 2015, with a total of 1304 observations. This table compares the forecasting performance, in terms of , for several forecasting models. We report as percentage for l-day ahead predictions where and 30. Moreover, we examine the ability of all models to predict the direction of change by the DAC test [40]. , , and denote statistical significance at 1%, 5%, and 10%, respectively. For each length of prediction, we mark the maximum as bold.