Give a detailed discussion of your model and implementation. Form both the point forecasts and interval forecasts.

INSTRUCTIONS TO CANDIDATES

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Final project: Copper price or exchange rate forecast 

Apply all you learned in the class or some other methods you know to forecast the copper price or the exchange rate between Switzerland and U.S. (only choose one). The data can be downloaded from FRED. Please use the monthly data for Global price of Copper (PCOPPUSDM) or the daily data for Switzerland / U.S. Foreign Exchange Rate (DEXSZUS). For the copper price, please use all the data from Jan. 1990 to Feb. 2021 and do the forecast for Mar. 2021 to August 2021. For the Switzerland and U.S. exchange rate, please use at least 10 years data up to 4/9/2021, and forecast the daily values for 4/12/2021 to 5/14/2021. Consider whether there exist trend, seasonality and cycles. You can also consider all other relevant economic variables. Give a detailed discussion of your model and implementation. Form both the point forecasts and interval forecasts. Keep some observations as holdout sample to examine the out of sample forecasting performance to adjust your model, then use the best model to forecast the future values. Do as best as you can. Write a comprehensive report similar to the sample reports. Also, submit your codes. Work on the project independently. The report is expected to have around 7 pages. Please email me your report. 

Sample reports 

Gulia, Banhi and Bandyopadhyay, Gautam (2016) Gold price forecasting using ARIMA model. Journal of Advanced Management Science 4(2), 117-121. 

'11ipathy, Naliniprava (2017) Forecasting gold price with auto regressive integrated moving average model. International Journal of Economics and Financial Issues 7(4), 324-329. 

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