Forecast Exchange Rate with Box Jenkins Model: An Empirical Study

Zheng, Jingwen (2012) Forecast Exchange Rate with Box Jenkins Model: An Empirical Study. [Dissertation (University of Nottingham only)] (Unpublished)

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Box and Jenkins (1970) introduced a family of linear stochastic models that are now referred as Box-Jenkins or ARIMA model. This paper practices the Box-Jenkins’ methodology, obtains the ARIMA models with British pound/U.S. dollar exchange rates. A comparison is given between forecast performance of ARIMA models and the random walk model. The result suggests that the random walk model is superior to any of ARIMA models with the given data. Random walk is still the best technique method for exchange rate forecast since Meese and Rogoff (1983). GBP/USD exchange rate market efficiency holds.

Item Type: Dissertation (University of Nottingham only)
Keywords: exchange rate, forecast, Box-Jenkins’ methodology, ARIMA, random walk, market efficiency hypothesis
Depositing User: EP, Services
Date Deposited: 08 Apr 2013 12:03
Last Modified: 19 Oct 2017 13:04

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