A STATISTICAL MODEL FOR FORECASTING FOREIGN DIRECT INVESTMENT IN EGYPT USING THE HYBRID APPROACH OF ANN AND ARIMA MODELS
Mamdouh Abdel Alim Saad Mowafy; Hanaa Hussein Ali Aboul Ela;
Abstract
This study aims to use the hybrid method between artificial neural
networks (ANN) and autoregressive integrated moving average
(ARIMA) models for forecasting foreign direct investment (FDI) in
Egypt from Q1 2019 to Q4 2021. The ANN, ARIMA and hybrid
models were compared to choose the best model in terms of
explanatory ability by using multiple determination coefficient R2, as
well as predictive ability by using square root of the mean squared
errors (RMSE) and mean absolute error (MAE) criteria. The statistical
result indicates that the optimal model was the hybrid model ARIMAANN
(3, 1, 0) (5-1-4) where its explanatory and predictive capacity
was higher than the other models. The result shows the most important
economic factors affecting foreign direct investment, including
imports (IMP), gross domestic production (GDP), exports (EXP),
consumer price index (CPI) and interest rate (IR).
networks (ANN) and autoregressive integrated moving average
(ARIMA) models for forecasting foreign direct investment (FDI) in
Egypt from Q1 2019 to Q4 2021. The ANN, ARIMA and hybrid
models were compared to choose the best model in terms of
explanatory ability by using multiple determination coefficient R2, as
well as predictive ability by using square root of the mean squared
errors (RMSE) and mean absolute error (MAE) criteria. The statistical
result indicates that the optimal model was the hybrid model ARIMAANN
(3, 1, 0) (5-1-4) where its explanatory and predictive capacity
was higher than the other models. The result shows the most important
economic factors affecting foreign direct investment, including
imports (IMP), gross domestic production (GDP), exports (EXP),
consumer price index (CPI) and interest rate (IR).
Other data
Title | A STATISTICAL MODEL FOR FORECASTING FOREIGN DIRECT INVESTMENT IN EGYPT USING THE HYBRID APPROACH OF ANN AND ARIMA MODELS | Authors | Mamdouh Abdel Alim Saad Mowafy; Hanaa Hussein Ali Aboul Ela | Keywords | foreign direct investments (FDI);artificial neural networks (ANN);autoregressive integrated moving averages (ARIMA) | Issue Date | 6-Mar-2020 | Publisher | Pushpa Publishing House, Prayagraj, India | Journal | Advances in Fuzzy Sets and Systems | Volume | 25 | Issue | 1 | Start page | 1 | End page | 24 | DOI | https://orcid.org/0000-0001-8856-9610 |
Attached Files
File | Description | Size | Format | Existing users please Login |
---|---|---|---|---|
A STATISTICAL MODEL FOR FORECASTING FOREIGN DIRECT INVESTMENT IN EGYPT USING THE HYBRID APPROACH OF ANN AND ARIMA MODELS.pdf | 1.52 MB | Adobe PDF | Request a copy |
Similar Items from Core Recommender Database
Items in Ain Shams Scholar are protected by copyright, with all rights reserved, unless otherwise indicated.