International Journal of Management, Accounting and Economics
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Volume 2, No. 4, April 2015 Pages: 339 - 345
Daily Uganda Shilling/United States Dollar Exchange Rates Modeling by Box-Jenkins Techniques
Ette Harrison Etuk , Bazinzi Natamba
Corresponding author:
ettehetuk[at]gmail[dot]com
Abstract:
A 180-point daily exchange rate series of the Uganda shilling (UGX) and the United States dollar (USD) covering from 25 August 2014 to 20 February 2015 is analyzed by seasonal Box-Jenkins methods. A time-plot of the series shows an upward trend indicating a relative depreciation of the UGX. A seven-day differencing of the series yield a series that is adjudged stationary by the Augmented Dickey Fuller (ADF) Test. However, its correlogram contradicts a stationarity hypothesis. A non-seasonal differencing of this series produces a series adjudged as stationary and having an autocorrelation function that suggests two models, namely: a SARIMA(0,1,1)x(0,1,1)7 and a SARIMA(0,1,1)x(1,1,1)7. Diagnostic checking methods used to compare the two models reveal that the former model is the more adequate model. Hence it is proposed that the exchange rates follow a SARIMA(0,1,1)x(0,1,1)7 model. Forecasting might therefore be based on this model.
Keywords:
Uganda shilling, United States Dollar, foreign exchange rates, SARIMA modeling.
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