In this paper, the Consumer Confidence Index (CCI) is led in to be one of the considered factors in foreign exchange rate forecasting. Besides CCI, nine conventional factors, which are used in the existing foreign exchange rate forecasting methods, are also included in the considered factors. The classical time-series method, GARCH model, is employed and six-year historical data in 2006 to 2011 is used to produce the foreign exchange rate forecasting results. The experimental results indicate that including CCI as one of the considered factors for the foreign exchange rate forecasting with GARCH model improves parts of the foreign exchange rate forecasting accuracy than only including the conventional factors.
['Pei-Wei Tsai', 'Chia-Han Liu', 'Lyu-Chao Liao', 'Jui-Fang Chang']
Using Consumer Confidence Index in the Foreign Exchange Rate Forecasting