Forecasting exchange rate for the Ringgit Malaysia Vis-A-Vis Euro

Low, Li Yi (2007) Forecasting exchange rate for the Ringgit Malaysia Vis-A-Vis Euro. Universiti Malaysia Sabah. (Unpublished)

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Abstract

This study was based on the application of time series forecasting method which is Box-Jenkins method to forecast the exchange rate between Ringgit Malaysia and Euro for year 2007. Data that is used is a daily data from August 23rd, 2002 to August 30th, 2006. The 1000 observations data were used to establish a model to forecast for the 120 days following. The present of unit root was tested using the Dickey-Fuller test to determine the stationary data. In this research, two possible models, ARIMA (0, 1, 1) and ARIMA (1, 1, 0) are suspected to be the best model for forecasting. Akaike Information Criterion (AIC) is used to choose the best model between the two models. The estimated values from 1001 observation to 1020 observations were used to compare with the actual exchange rate. Forecasting accuracy measurement is detennined by the Mean Absolute Percentage Error (MAPE). Model ARIMA (0, 1, 1) is determined to be the best model and it is used to forecast the 120 days ahead. Data analysis shows that this model produces a small error where the value of observations and the value of forecast are not much different.

Item Type: Academic Exercise
Uncontrolled Keywords: time series, forecasting method, Box-Jenkins method, exchange rate, value of observation,
Subjects: H Social Sciences > HB Economic Theory
Divisions: SCHOOL > School of Science and Technology
Depositing User: MDM SITI AZIZAH IDRIS
Date Deposited: 10 Dec 2013 06:38
Last Modified: 11 Oct 2017 07:43
URI: http://eprints.ums.edu.my/id/eprint/7754

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