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Title: Forecast foreign exchange rate: the case study of PKR/USD
Authors: Muhammad, A.
Ahmad, N.
Dos-Santos, M. J. P. L.
Keywords: Autoregressive
Exchange rate
Issue Date: 2020
Publisher: MCSER – Mediterranean Center of Social and Educational Research
Abstract: 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.
Peer reviewed: yes
DOI: 10.36941/mjss-2020-0048
ISSN: 2039-9340
Appears in Collections:DINÂMIA'CET-RI - Artigo em revista científica internacional com arbitragem científica

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