Forecasting Exchange Rate between Thai Baht and the US Dollar Using Time Series Analysis
ثبت نشده
چکیده
Abstract—The objective of this research is to forecast the monthly exchange rate between Thai baht and the US dollar and to compare two forecasting methods. The methods are Box-Jenkins’ method and Holt’s method. Results show that the Box-Jenkins’ method is the most suitable method for the monthly Exchange Rate between Thai Baht and the US Dollar. The suitable forecasting model is ARIMA (1,1,0) without constant and the forecasting equation is = Yt-1 + 0.3691 (Yt-1 Yt-2) When Yt is the time series data at time t, respectively.
منابع مشابه
The Comparison among ARIMA and hybrid ARIMA-GARCH Models in Forecasting the Exchange Rate of Iran
This paper attempts to compare the forecasting performance of the ARIMA model and hybrid ARMA-GARCH Models by using daily data of the Iran’s exchange rate against the U.S. Dollar (IRR/USD) for the period of 20 March 2014 to 20 June 2015. The period of 20 March 2014 to 19 April 2015 was used to build the model while remaining data were used to do out of sample forecasting and check the forecasti...
متن کاملA hybrid computational intelligence model for foreign exchange rate forecasting
Computational intelligence approaches have gradually established themselves as a popular tool for forecasting the complicated financial markets. Forecasting accuracy is one of the most important features of forecasting models; hence, never has research directed at improving upon the effectiveness of time series models stopped. Nowadays, despite the numerous time series forecasting models propos...
متن کاملپیشبینی بازار ارز فارکس با استفاده از سریهای زمانی فازی و الگوریتم شبیه سازی تبرید
In the last 15 years, some methods have been proposed for forecasting based on fuzzy time series. One of the most important issues that affect the forecasting results in these models is the length of intervals. There are some studies on this issue but in most of them, length of intervals are predefined or even in some studies the interval’s length are the same. In this study we propose a model ...
متن کاملForecasting Exchange Rate Between the Ghana Cedi and the Us Dollar Using Time Series Analysis
This paper modeled the monthly exchange rate between the Ghana Cedi and the US Dollar and forecast future rates using time series analysis. ARIMA model was developed using Box and Jenkins method of Time Series Analysis on the monthly data collected from January, 1994 to December 2010 and validated. The result showed that the predicted rates were consistent with the depreciating trend of the obs...
متن کاملAn Analysis of Fractal Properties in the Iranian Exchange Rate Behavior
The behavior of exchange rate in various exchange markets is not seemingly predictable, while there are different forecasting methods to do so. One of these methods is to use fractals to identify exchange rate behavior. This paper has made attempts to explore the properties of fractals in Iranâs exchange market in order to it can predict and analyze the trend of exchange rate. Accordingly, th...
متن کامل