Forecasting Philippine Exchange Rate Against US Dollar Using Auto-Regressive Integrated Moving Average (Arima) Model
Journal: THE INTERNATIONAL JOURNAL OF BUSINESS MANAGEMENT AND TECHNOLOGY (Vol.6, No. 6)Publication Date: 2022-12-30
Authors : Joemarie A. Pono MS;
Page : 08-133
Keywords : ARIMA; exchange rate; univariate time series;
Abstract
The ARIMA model fit for forecasting was the subject of the study on forecasting the Philippine exchange rate. Several models were used, however, ARIMA is one of the models that several researchers have used to anticipate various time series data due to its benefits. The research used the Box-Jenkins technique, including identification, estimation, diagnosis, and forecasting. By identifying the most significant model, lowest volatility, maximum likelihood estimation, and lowest AIC and BIC, the ARIMA (1,1,1) was the best model. When inflationary (deflationary) pressures occur, policymakers ideally use expansionary (contractionary) fiscal policy and contractionary (expansionary) monetary policy. Based on the findings, policymakers and concerned institutions, such as the Bangko Sentral ng Pilipinas, may use their discretion to impose dirty float in 2021-2023, which were indicated as having a continual fall in the currency rate.
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