Predict Exchange Rate by Adopting Maximum Likelihood Estimation (MLE) Method Approach

Forecasting exchange rates is one of the difficulties that researchers and experimenters face. In the near term, the currency market is often unpredictable and difficult to anticipate. The primary goal of this research is to present a model for projecting the exchange rate for the next day utilizing certain acceptable factors and Maximum Likelihood Estimates (MLE). The empirical study forecasts the VND/USD exchange rate from 1/1/2010 to 1/2/2023, trading day by day. The rolling window approach yielded MAE, RMSE, and MAPE values of 20,357, 40.006, and 0.0009, respectively. Furthermore, the regression analysis findings demonstrate that most variables are statistically significant at the 0.001 level except for the low open variable.