Analysis of Exchange Rates as Time-Inhomogeneous Markov Chain with Finite States
Table 3
Estimates of limiting average of transition probabilities, mean recurrent times, measures, and indices of closeness by currency and type of homogeneity.
Statistic
USD
Pound
Euro
Inhomo
Homo
Inhomo
Homo
Inhomo
Homo
0.3840
0.3767
0.4583
0.4538
0.4512
0.4438
0.6162
0.6232
0.5417
0.5462
0.5604
0.5562
0.3599
0.3767
0.4478
0.4538
0.4489
0.4438
0.6403
0.6232
0.5522
0.5462
0.5627
0.5262
2.5171
2.6542
1.9385
2.2036
2.1993
2.2531
2.1264
1.6045
1.8381
1.8309
1.8331
1.7980
3.4240
2.6542
2.0533
2.2036
2.2275
2.2531
1.5532
1.6045
1.7304
1.8309
1.8046
1.7980
0.2550
0.1096
0.0747
0.0232
0.0005
0.0025
0.1616
0.0743
0.0175
1.0858
1.0131
1.0056
0.9908
0.9999
1.0004
1.1162
0.9389
1.0087
represent one-step expected transition probability from state i to j (i,j =0 equivalent to no increase, 1 equivalent to increase).
