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

M. A. Alsaleh (Kuwait)


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.

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 Unpublished Ph.D. thesis, University of Kent, U.K.



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