FORECASTING EXCHANGE RATE :A Uni-variate out of sample Approach
AbstractIn this paper we tried to build univariate model to forecast exchange rate of Indian Rupee in terms of different currencies like SDR, USD, GBP, Euro and JPY. Paper uses Box-Jenkins Methodology of building ARIMA model. Sample data for the paper was taken from March 1992 to June 2004, out of which data till December 2002 were used to build the model while remaining data points were used to do out of sample forecasting and check the forecasting ability of the model. All the data were collected from Indiastat database. Result of the paper shows that ARIMA models provides a better forecasting of exchange rates than simple auto- regressive models or moving average models. We were able to build model for all the currencies, except USD, which shows the relative efficiency of the USD currency market.
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Bibliographic InfoPaper provided by EconWPA in its series International Finance with number 0506005.
Length: 18 pages
Date of creation: 08 Jun 2005
Date of revision:
Note: Type of Document - pdf; pages: 18
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Exchange rate forecasting; univariate analysis; ARIMA; Box- Jenkins methodology; out of sample approach;
Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-06-14 (All new papers)
- NEP-ETS-2005-06-14 (Econometric Time Series)
- NEP-FMK-2005-06-14 (Financial Markets)
- NEP-IFN-2005-06-14 (International Finance)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Faust, Jon & Rogers, John H. & H. Wright, Jonathan, 2003. "Exchange rate forecasting: the errors we've really made," Journal of International Economics, Elsevier, vol. 60(1), pages 35-59, May.
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