Forecast track record by currency pair

The live rate is the edge.

The ECB fixes at 14:15 CET. We refresh six times each working day from live market rates, so today's number already contains the move the market has made since yesterday's fix. Measured against 59 real fixes (Monday 17 August to Thursday 5 November), this is how much of the no change error is left at each refresh, averaged over the 27 currencies where the live feed matches the ECB fix.

By late morning most of tomorrow's headline is already known.

Not anchored, because the live feed and the ECB rate disagree: CNY. Those stay on the fix.

Error of the live rate nowcast relative to assuming no change, by refresh time
Refresh	Error left	Cut	Live scored
16:30 UTC, after the fix	82% of no change	18% less error	90% left, 27% inside range (26)
21:30 UTC	78% of no change	22% less error	73% left, 31% inside range (26)
05:30 UTC	60% of no change	40% less error	not yet
07:30 UTC	49% of no change	51% less error	not yet
09:30 UTC	39% of no change	61% less error	not yet
11:30 UTC	26% of no change	74% less error	5% left, 82% inside range (38)

"Live scored" counts every nowcast we published since launch, scored against the fix that followed: 90 so far.

What we tested, and what survived.

Nineteen years of daily ECB fixes for 29 currencies, every method walk forward, chosen on 2019 to 2023 and judged on the last three years. Only what beat the market's own price out of sample is in the model.

In the modelLive rate anchoringA live rate before the 14:15 CET fix cuts the error on that fix by 40% at 05:30 UTC and 64% at 11:30 UTC, measured against real fixes. The single biggest gain, so the site refreshes six times a day.

In the modelCrawl drift, gatedA 250 day drift that only switches on when its t statistic is strong. Cuts the lira's error 7% at one day and 28% at five, and is zero for every floating currency.

In the modelVolatility that remembersA GARCH style daily volatility reverting to its long run level, calibrated by conformal prediction so the 80% range holds 8 times in 10 whatever the distribution does. 1 to 3% tighter than a fixed window.

In the modelEvent daysThe fix after an FOMC decision moves 1.7× a normal day, after US payrolls 1.4×, after an ECB decision 1.1×, the FOMC day itself 0.75×. Ranges are sized for it; without this they held only 64% of the time on those days.

Tested, outLagged returns and the dollar factorYesterday's move, the dollar's move against the majors, one to five lags, ridge regressions: at one to five days none beats no change out of sample, on any of 28 currencies. Even coefficients picked with hindsight gain under half a percent.

Tested, outCatch up after big dollar daysAsian managed currencies do give back 3 to 8 bp the day after a large dollar move, but against daily moves of 20 to 40 bp that is under 1% of error and it did not hold up out of sample.

Tested, outMean reversion to 20 and 60 day averagesAdds noise at one day and nothing at five.

Tested, outProjecting weak feeds from the majorsUsing the live euro, pound and yen to infer a currency's move is worse than that currency's own live quote in every case we measured.

Tested, outA global volatility factorScaling each currency's volatility by the majors' volatility made the ranges slightly worse; each currency's own history already carries it.

Next fix

Pair	Forecasts	Avg miss	No change guess	Inside range	Verdict
EURUSD to EUREuro	990	0.00284	0.00283	80%	Ties
GBPUSD to GBPBritish pound	990	0.00259	0.00259	80%	Ties
JPYUSD to JPYJapanese yen	990	0.644	0.644	82%	Ties
INRUSD to INRIndian rupee	990	0.141	0.141	79%	Ties
AUDUSD to AUDAustralian dollar	990	0.00673	0.00673	81%	Ties
CADUSD to CADCanadian dollar	990	0.00345	0.00345	82%	Ties
CHFUSD to CHFSwiss franc	990	0.00295	0.00295	81%	Ties
GBPGBP to INRMoney route	990	0.380	0.380	80%	Ties
EUREUR to INRMoney route	990	0.307	0.307	81%	Ties
AUDAUD to INRMoney route	990	0.251	0.251	81%	Ties
CADCAD to INRMoney route	990	0.174	0.174	81%	Ties
EUREUR to GBPMoney route	990	0.00176	0.00176	80%	Ties
GBPGBP to EURMoney route	990	0.00239	0.00239	80%	Ties
EUREUR to USDEuro	990	0.00346	0.00346	80%	Ties
GBPGBP to USDBritish pound	990	0.00429	0.00429	80%	Ties
JPYJPY to USDJapanese yen	990	0.0000295	0.0000295	82%	Ties
INRINR to USDIndian rupee	990	0.000018	0.000018	79%	Ties
AUDAUD to USDAustralian dollar	990	0.00298	0.00298	81%	Ties
CADCAD to USDCanadian dollar	990	0.00183	0.00183	82%	Ties
CHFCHF to USDSwiss franc	990	0.00403	0.00403	81%	Ties
CNYUSD to CNYChinese yuan	990	0.00934	0.00936	82%	Ties
SGDUSD to SGDSingapore dollar	990	0.00269	0.00269	80%	Ties
HKDUSD to HKDHong Kong dollar	990	0.00265	0.00265	82%	Ties
KRWUSD to KRWSouth Korean won	990	6.012	6.013	79%	Ties
NZDUSD to NZDNew Zealand dollar	990	0.00769	0.00769	81%	Ties
THBUSD to THBThai baht	990	0.130	0.130	80%	Ties
IDRUSD to IDRIndonesian rupiah	990	47.1	47.1	81%	Ties
MYRUSD to MYRMalaysian ringgit	990	0.01096	0.01096	80%	Ties
PHPUSD to PHPPhilippine peso	990	0.157	0.157	81%	Ties
SEKUSD to SEKSwedish krona	990	0.04927	0.04927	81%	Ties
NOKUSD to NOKNorwegian krone	990	0.05214	0.05214	82%	Ties
DKKUSD to DKKDanish krone	990	0.02113	0.02113	80%	Ties
PLNUSD to PLNPolish zloty	990	0.01731	0.01731	80%	Ties
CZKUSD to CZKCzech koruna	990	0.087	0.087	80%	Ties
HUFUSD to HUFHungarian forint	990	1.895	1.895	79%	Ties
RONUSD to RONRomanian leu	990	0.01507	0.01507	80%	Ties
TRYUSD to TRYTurkish lira	990	0.047	0.050	82%	Beats it
ISKUSD to ISKIcelandic krona	990	0.492	0.492	81%	Ties
MXNUSD to MXNMexican peso	990	0.094	0.094	81%	Ties
BRLUSD to BRLBrazilian real	990	0.03056	0.03055	81%	Ties
ZARUSD to ZARSouth African rand	990	0.105	0.105	81%	Ties
ILSUSD to ILSIsraeli shekel	990	0.01696	0.01696	80%	Ties

Five sessions out

Pair	Forecasts	Avg miss	No change guess	Inside range	Verdict
EURUSD to EUREuro	986	0.00625	0.00625	79%	Ties
GBPUSD to GBPBritish pound	986	0.00572	0.00572	79%	Ties
JPYUSD to JPYJapanese yen	986	1.457	1.457	81%	Ties
INRUSD to INRIndian rupee	986	0.334	0.334	79%	Ties
AUDUSD to AUDAustralian dollar	986	0.01436	0.01436	78%	Ties
CADUSD to CADCanadian dollar	986	0.00800	0.00800	78%	Ties
CHFUSD to CHFSwiss franc	986	0.00672	0.00672	78%	Ties
GBPGBP to INRMoney route	986	0.828	0.826	78%	Ties
EUREUR to INRMoney route	986	0.680	0.678	78%	Ties
AUDAUD to INRMoney route	986	0.559	0.559	78%	Ties
CADCAD to INRMoney route	986	0.412	0.412	78%	Ties
EUREUR to GBPMoney route	986	0.00381	0.00381	81%	Ties
GBPGBP to EURMoney route	986	0.00517	0.00517	81%	Ties
EUREUR to USDEuro	986	0.00768	0.00768	79%	Ties
GBPGBP to USDBritish pound	986	0.00952	0.00951	79%	Ties
JPYJPY to USDJapanese yen	986	0.0000665	0.0000664	81%	Ties
INRINR to USDIndian rupee	986	0.000043	0.000043	79%	Ties
AUDAUD to USDAustralian dollar	986	0.00635	0.00635	78%	Ties
CADCAD to USDCanadian dollar	986	0.00423	0.00423	78%	Ties
CHFCHF to USDSwiss franc	986	0.00925	0.00924	78%	Ties
CNYUSD to CNYChinese yuan	986	0.02152	0.02169	82%	Ties
SGDUSD to SGDSingapore dollar	986	0.00589	0.00590	80%	Ties
HKDUSD to HKDHong Kong dollar	986	0.00587	0.00587	81%	Ties
KRWUSD to KRWSouth Korean won	986	13.107	13.106	79%	Ties
NZDUSD to NZDNew Zealand dollar	986	0.01724	0.01724	77%	Ties
THBUSD to THBThai baht	986	0.293	0.293	82%	Ties
IDRUSD to IDRIndonesian rupiah	986	101.7	101.6	81%	Ties
MYRUSD to MYRMalaysian ringgit	986	0.02878	0.02875	80%	Ties
PHPUSD to PHPPhilippine peso	986	0.354	0.353	79%	Ties
SEKUSD to SEKSwedish krona	986	0.10688	0.10687	79%	Ties
NOKUSD to NOKNorwegian krone	986	0.11489	0.11488	79%	Ties
DKKUSD to DKKDanish krone	986	0.04668	0.04668	79%	Ties
PLNUSD to PLNPolish zloty	986	0.03640	0.03632	78%	Ties
CZKUSD to CZKCzech koruna	986	0.191	0.191	79%	Ties
HUFUSD to HUFHungarian forint	986	4.070	4.065	80%	Ties
RONUSD to RONRomanian leu	986	0.03410	0.03408	79%	Ties
TRYUSD to TRYTurkish lira	986	0.129	0.179	86%	Beats it
ISKUSD to ISKIcelandic krona	986	1.035	1.035	80%	Ties
MXNUSD to MXNMexican peso	986	0.202	0.202	82%	Ties
BRLUSD to BRLBrazilian real	986	0.06631	0.06630	80%	Ties
ZARUSD to ZARSouth African rand	986	0.224	0.224	80%	Ties
ILSUSD to ILSIsraeli shekel	986	0.03807	0.03810	81%	Ties

How we score it.

Walk forward testing: each forecast only sees reference rates published before its own date. Nothing is tuned on the period it is scored on.

Average miss is the mean absolute gap between the forecast and the reference rate that followed. The no change guess simply repeats the latest rate.

These tables score the daily model alone, from fix to fix, before any live anchoring. On daily data the market's own price is almost unbeatable, so nearly every pair ties it and only crawling currencies beat it; the 80% band is sized by a volatility model and calibrated on real recent misses. Beating no change takes an error at least 1% smaller, and up to 6% larger counts as a tie.

Live forecast archive

If the numbers get worse, they get worse here first.

Our track record, in full.

The live rate is the edge.

What we tested, and what survived.

Next fix

Five sessions out

How we score it.