International Journal of Life Science and Engineering
Articles Information
International Journal of Life Science and Engineering, Vol.1, No.4, Sep. 2015, Pub. Date: Jul. 9, 2015
Modelling Monthly Ugandan Shilling/US Dollar Exchange Rates by Seasonal Box-Jenkins Techniques
Pages: 165-170 Views: 2589 Downloads: 1793
Authors
[01] Ette Harrison Etuk, Department of Mathematics and Computer Science, Rivers State University of Science and Technology, Port Harcourt, Nigeria.
[02] Bazinzi Natamba, Department of Accounting, Faculty of Commerce, Makerere University Business School, Kampala, Uganda.
Abstract
A brief history of the exchange rates between the Uganda shilling and the United States dollars is given. Moreover, this work involves modeling of their monthly exchange rates by seasonal Box-Jenkins methods. Clearly with time more shillings are exchanged for the dollar, an evidence of relative depreciation of the shilling. An inspection of a realization of the time series which covers from July 1990 to November 2014 reveals a 12-monthly seasonality. A 12-monthly seasonal differencing and then a non-seasonal differencing of the seasonal differences is enough to rid the series of non-stationarity. The autocorrelation structure of the resultant series suggests two seasonal autoregressive integrated moving average (SARIMA) models of orders: (0, 1, 1)x(0, 1, 1)12 and (0, 1, 1)x(1, 1, 1)12. Diagnostic checking shows that the former is the more adequate on all counts. It is therefore recommended that forecasting of the series be based on it.
Keywords
Uganda Shilling, Us Dollar, Foreign Exchange Rates, Sarima Models, Seasonal Models
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