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Advisor(s)
Abstract(s)
The main aim of this paper is to forecast the future values of the exchange rate of the USD. Dollar (USD) and
Pakistani Rupee (PR). For this purpose was used the ARIMA model to forecast the future exchange rates,
because the time series was stationary at first difference. Data reported to five years ranging from the first
day of April 2014 to 31st March 2019. The results proved that ARIMA (1,1,9) is the most suitable model to
forecast the exchange rate. The difference between the forecasted values and actual values are less than 1%;
therefore, it was found that the ARIMA is robust and this model will be helpful for the government
functionaries, monetary policymakers, economists and other stakeholders to identify and forecast the future
trend of the exchange rate and make their policies accordingly.
Description
Keywords
Autoregressive Forecasting Exchange rate ARIMA
Citation
Asadullah, M., Ahmad, N., & Dos-Santos, M. J. P.L.(2020, jul). Forecast foreign exchange rate: The case study of PKR/USD. Mediterranean Journal of Social Sciences (MJSS),11 (4)129-137. DOI:https://doi.org/10.36941/mjss-2020-0048.
Publisher
Richtmann Publishing