Scientific Program > Topic 11 >
Poster 11-16. On Forecasting Exchange Rate : A Time Series Analysis

Presenter
M. A. Alsaleh (Kuwait) Jastang9@paaetms.paaet.edu.kw

 

Poster Abstract

There is an increasing importance to forecast the exchange rate as international trading takes center stage in more and more countries. In this paper I postulate some simple time series models that can be used for quite effective and accurate forecast in International Forex markets of major international currencies in relation to the Kuwaiti Dinar. I have compared various time series models and observed that Box-Jenkins ARMA(1,1,1) gives the best model for forecasting exchange rates.

Key Words:
Box-Jenkins, ARIMA model, Seasonal Index, Forex Market.

References:
Box, G.E.P, & Jenkins, G.M (1976). Time Series Analysis: Forecasting and Control. San Francisco: Holden Day.

Hacche, G., & Townsend, J.(1981). Exchange Rates and Monetary Policy: Modelling Sterling's Effective Rate, 1972-1980,Oxford Economic Papers, 33, pp 201-247.

Hauser, M.A., Kunst, R.M., & Reschenhofer, E. (1994). Modelling Exchange rates: Long Run Dependence Versus Conditional Heteroscedasticity, Applied Financial Economics, Vol 4, pp 45-52.

Kumar, K. (1986). Some Topics in the Identification of Time Series Models. Unpublished Ph.D. thesis, University of Kent, U.K.

 

 

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