Currency exchange - markov switching model
This project is about float, fixed and mixed exchange rates differences, you can expect:
- working on the real data (from fxtop.com)
- analysis period selection
- data analysis (realizations plots)
- cointegration testing (two-step Engle-Granger procedure (1987))
- statistical tests (Augmented Dicky-Fuller, Breusch-Godfrey, F, Ljung-Box)
- model selection (information criteria)
- Markov switching modelling
- hypotheses verification (rate swings)
- inference and interpretations
- quality paper-style report in Polish
