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Abstract
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Article Information:
Forecasting Exchange Rate Between the Ghana Cedi and the US Dollar using Time Series Analysis
S.T. Appiah and I.A. Adetunde
Corresponding Author: I.A. Adetunde
Submitted: 2011 June, 09
Accepted: 2011 August, 08
Published: 2011 August, 15 |
Abstract:
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This study modeled the monthly exchange rate between the Ghana Cedi and the US Dollar and
forecast future rates using time series analysis. ARIMA model was developed using Box and Jenkins method
of Time Series Analysis on the monthly data collected from January, 1994 to December 2010 and validated.
The result showed that the predicted rates were consistent with the depreciating trend of the observed series.
ARIMA (1,1,1) model was found as the most suitable model with least Normalised Bayesian Information
Criterion (BIC) of 9.111, Mean Absolute Percentage Error (MAPE) of 0.915, Root Mean Square Error of
93.873 and high value of R- Square of 1.000. Estimation was done by Ljung-Box test, with (Q 18) = 15.146,
16 DF and p-value of 0.514 with no autocorrelation between residuals at different lag times. Finally, a forecast
for two-year period from January, 2011 to December, 2012 was calculated which showed a depreciating of the
Ghana Cedi against the US Dollar.
Key words: ARIMA, autocorrelation, Bayesian Information Criterion (BIC), box jenkins method, forecasting, Mean Absolute Percentage Error (MAPE), time series analysis
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Cite this Reference:
S.T. Appiah and I.A. Adetunde, . Forecasting Exchange Rate Between the Ghana Cedi and the US Dollar using Time Series Analysis. Current Research Journal of Economic Theory, (2): 76-83.
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ISSN (Online): 2042-485X
ISSN (Print): 2042-4841 |
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