Short-Term Forecasting of Four Rand-Denominated Currency Markets (EUR/ZAR, CHF/ZAR, BRL/ZAR, CNY/ZAR): A Comparative Analysis of Support Vector Regression, XGBoost and Principal Component Regression

Using daily data from Investing.com South Africa, this study investigates the forecasting performance of four Rand currency rate markets (EUR/ZAR, CHF/ZAR, BRL/ZAR, and CNY/ZAR) from 13 February 2018 until 24 February 2025. The predictive fitness of three competing models, Support Vector Regression (SVR), Principal Component Regression (PCR), and eXtreme Gradient Boosting (XGBoost), is explored between 80%/20% and 95%/5% training-testing splits. Forecasting accuracy is evaluated based on evaluation errors, i.e., Mean Absolute Error (MAE) and Root Mean Square Error (RMSE). The Diebold–Mariano test is employed to check for statistical significance. Empirical results show that the linear SVR model outperforms PCR across all markets, while XGBoost achieves competitive predictive accuracy on average; the trade-offs between SVR and XGBoost are often very small. The data indicate that linear kernel methods provide a robust prediction pipeline, especially when macroeconomic factors (gold, oil, platinum prices, and the USD/ZAR exchange rate) and calendar-based factors are taken into account, and offer a strong framework for predicting daily exchange rate fluctuations. The results of this research provide practitioners (traders, risk managers, and policymakers) with insights into the relative efficiency of the kernel vs. ensemble learning approaches for forecasting the value of emerging-market currencies in the presence of structural volatility.

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Publication Details

Journal
Risks
Published
2026-04-22
DOI
https://doi.org/10.3390/risks14050097
Primary Topic
Stock Market Forecasting Methods
Type
article
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article

Short-Term Forecasting of Four Rand-Denominated Currency Markets (EUR/ZAR, CHF/ZAR, BRL/ZAR, CNY/ZAR): A Comparative Analysis of Support Vector Regression, XGBoost and Principal Component Regression

Caston Sigauke, Thakhani Ravele, Thinawanga Hangwani Tshisikhawe, Sthembile Albertinah Fundama
Risks
Stock Market Forecasting Methods
article

Short-Term Forecasting of Four Rand-Denominated Currency Markets (EUR/ZAR, CHF/ZAR, BRL/ZAR, CNY/ZAR): A Comparative Analysis of Support Vector Regression, XGBoost and Principal Component Regression

Caston Sigauke, Thakhani Ravele, Thinawanga Hangwani Tshisikhawe, Sthembile Albertinah Fundama
article en

Abstract

Using daily data from Investing.com South Africa, this study investigates the forecasting performance of four Rand currency rate markets (EUR/ZAR, CHF/ZAR, BRL/ZAR, and CNY/ZAR) from 13 February 2018 until 24 February 2025. The predictive fitness of three competing models, Support Vector Regression (SVR), Principal Component Regression (PCR), and eXtreme Gradient Boosting (XGBoost), is explored between 80%/20% and 95%/5% training-testing splits. Forecasting accuracy is evaluated based on evaluation errors, i.e., Mean Absolute Error (MAE) and Root Mean Square Error (RMSE). The Diebold–Mariano test is employed to check for statistical significance. Empirical results show that the linear SVR model outperforms PCR across all markets, while XGBoost achieves competitive predictive accuracy on average; the trade-offs between SVR and XGBoost are often very small. The data indicate that linear kernel methods provide a robust prediction pipeline, especially when macroeconomic factors (gold, oil, platinum prices, and the USD/ZAR exchange rate) and calendar-based factors are taken into account, and offer a strong framework for predicting daily exchange rate fluctuations. The results of this research provide practitioners (traders, risk managers, and policymakers) with insights into the relative efficiency of the kernel vs. ensemble learning approaches for forecasting the value of emerging-market currencies in the presence of structural volatility.

RisksVol. 14(5)
University of Venda (ZA)
Openalex Percentile: Top 7%
Stock Market Forecasting Methods
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