Forecasting Exchange Rate between Thai Baht and the US Dollar Using Time Series Analysis
The objective of this research is to forecast the monthly exchange rate between Thai baht and the US dollar and to compare two forecasting methods. The methods are Box-Jenkins’ method and Holt’s method. Results show that the Box-Jenkins’ method is the most suitable method for the monthly Exchange Rate between Thai Baht and the US Dollar. The suitable forecasting model is ARIMA (1,1,0) without constant and the forecasting equation is Yt = Yt-1 + 0.3691 (Yt-1 - Yt-2) When Yt is the time series data at time t, respectively.
[1] Sarekhop P. and Khongsawatkiat K. “Factors Determining THB/USD
Exchange rate”. Journal of Finance, Investment, Marketing, and
Business Managemen.Thailand, vol.3,April-May. 2013,p.1-19.
[2] Thailand Futures Exchange “USD Futures.” Thailand:2012.
[3] Box G. E. P., Jenkins G. M, “Time-Series Analysis, Forecasting and
Control”, Holden-Day, San Francisco,1970
[4] Makridakis S., Wheelwright S.C., Hyndman R.J. (1998) Forecasting.
Methods and Applications. Third Edition, Wiley & Sons, Inc.
[5] Judge, G. G., Hill, R. C., William, E. G., Lutkepohl, H. and Lee, T.
“Introduction to the Theory and Practice of Econometrics”, John Wiley
and Sons, New York, 1988.
[6] Ljung M. G. and Box G. E. P,“On a measure of lack of fit in time series
model,” Biometrika, vol 65,pp.297-303.1978
[7] Hanke, J. E., & Reitsch, A. G. “Business forecasting (6th ed.)”. Upper
Saddle River, NJ:Prentice-Hall,1998
[8] Hanke, J. E., Wichern, D. W., & Reitsch, A. G. “Business forecasting
(7th ed.)”. Upper Saddle River, NJ: Prentice-Hall.200.
[1] Sarekhop P. and Khongsawatkiat K. “Factors Determining THB/USD
Exchange rate”. Journal of Finance, Investment, Marketing, and
Business Managemen.Thailand, vol.3,April-May. 2013,p.1-19.
[2] Thailand Futures Exchange “USD Futures.” Thailand:2012.
[3] Box G. E. P., Jenkins G. M, “Time-Series Analysis, Forecasting and
Control”, Holden-Day, San Francisco,1970
[4] Makridakis S., Wheelwright S.C., Hyndman R.J. (1998) Forecasting.
Methods and Applications. Third Edition, Wiley & Sons, Inc.
[5] Judge, G. G., Hill, R. C., William, E. G., Lutkepohl, H. and Lee, T.
“Introduction to the Theory and Practice of Econometrics”, John Wiley
and Sons, New York, 1988.
[6] Ljung M. G. and Box G. E. P,“On a measure of lack of fit in time series
model,” Biometrika, vol 65,pp.297-303.1978
[7] Hanke, J. E., & Reitsch, A. G. “Business forecasting (6th ed.)”. Upper
Saddle River, NJ:Prentice-Hall,1998
[8] Hanke, J. E., Wichern, D. W., & Reitsch, A. G. “Business forecasting
(7th ed.)”. Upper Saddle River, NJ: Prentice-Hall.200.
@article{"International Journal of Engineering, Mathematical and Physical Sciences:72271", author = "Kunya Bowornchockchai", title = "Forecasting Exchange Rate between Thai Baht and the US Dollar Using Time Series Analysis", abstract = "The objective of this research is to forecast the monthly exchange rate between Thai baht and the US dollar and to compare two forecasting methods. The methods are Box-Jenkins’ method and Holt’s method. Results show that the Box-Jenkins’ method is the most suitable method for the monthly Exchange Rate between Thai Baht and the US Dollar. The suitable forecasting model is ARIMA (1,1,0) without constant and the forecasting equation is Yt = Yt-1 + 0.3691 (Yt-1 - Yt-2) When Yt is the time series data at time t, respectively.", keywords = "Box–Jenkins Method, Holt’s Method, Mean
Absolute Percentage Error (MAPE).", volume = "8", number = "8", pages = "1186-6", }