Abstract
One investment that is currently developing is currency exchange trading which is also called foreign exchange trading. The good analysis and precise decision making was very important to obtain the optimum result because the fluctuation of foreign currency value was always changing and very uncertain. One way to do it was using a forecasting. Forecasting was a method to predict the state of future by using data of the past. To overcome the problem of the data that had many variables on time series analysis was using transfer function approach. The aim of this study was to estimate the transfer function model parameters and to forecast the fluctuation of foreign exchange value by using the transfer function approach. The result of exchange rate for EUR/USD in this study with transfer function modeling then obtained a parameters estimation of and based on observational data for 100 periods starting from from the period to the period, the forecast value for the period is .
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