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Forecasting Exchange Rates Using Time Series Analysis: The sample of the currency of Kazakhstan

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  • Daniya Tlegenova

Abstract

This paper models yearly exchange rates between USD/KZT, EUR/KZT and SGD/KZT, and compares the actual data with developed forecasts using time series analysis over the period from 2006 to 2014. The official yearly data of National Bank of the Republic of Kazakhstan is used for present study. The main goal of this paper is to apply the ARIMA model for forecasting of yearly exchange rates of USD/KZT, EUR/KZT and SGD/KZT. The accuracy of the forecast is compared with Mean Absolute Error (MAE), Mean Absolute Percentage Error (MAPE) and Root Mean Squared Error (RMSE).

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  • Daniya Tlegenova, 2015. "Forecasting Exchange Rates Using Time Series Analysis: The sample of the currency of Kazakhstan," Papers 1508.07534, arXiv.org.
    • Handle: RePEc:arx:papers:1508.07534
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    1. repec:cup:cbooks:9781107034662 is not listed on IDEAS
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    5. Brooks,Chris, 2014. "Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9781107661455, December.
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    Cited by:

    1. S, Suresh Kumar & V, Joseph James, 2016. "Precision in Predicting the Stock Prices –An Empirical Approach to Accuracy in Forecasting," MPRA Paper 109026, University Library of Munich, Germany.

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