Forecast Exchange Rate with Box Jenkins Model: An Empirical Study
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...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/25759/ |
| _version_ | 1848793048235900928 |
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| author | Zheng, Jingwen |
| author_facet | Zheng, Jingwen |
| author_sort | Zheng, Jingwen |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T18:54:06Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25759 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:54:06Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-257592017-10-19T13:04:57Z https://eprints.nottingham.ac.uk/25759/ Forecast Exchange Rate with Box Jenkins Model: An Empirical Study Zheng, Jingwen 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. 2012-09-18 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25759/1/Forecast-Exchange-Rate-with-Box-Jenkins_model-A-Empirical-Study-re.pdf Zheng, Jingwen (2012) Forecast Exchange Rate with Box Jenkins Model: An Empirical Study. [Dissertation (University of Nottingham only)] (Unpublished) exchange rate forecast Box-Jenkins’ methodology ARIMA random walk market efficiency hypothesis |
| spellingShingle | exchange rate forecast Box-Jenkins’ methodology ARIMA random walk market efficiency hypothesis Zheng, Jingwen Forecast Exchange Rate with Box Jenkins Model: An Empirical Study |
| title | Forecast Exchange Rate with Box Jenkins Model: An Empirical Study |
| title_full | Forecast Exchange Rate with Box Jenkins Model: An Empirical Study |
| title_fullStr | Forecast Exchange Rate with Box Jenkins Model: An Empirical Study |
| title_full_unstemmed | Forecast Exchange Rate with Box Jenkins Model: An Empirical Study |
| title_short | Forecast Exchange Rate with Box Jenkins Model: An Empirical Study |
| title_sort | forecast exchange rate with box jenkins model: an empirical study |
| topic | exchange rate forecast Box-Jenkins’ methodology ARIMA random walk market efficiency hypothesis |
| url | https://eprints.nottingham.ac.uk/25759/ |