International Research journal of Management Science and Technology

  ISSN 2250 - 1959 (online) ISSN 2348 - 9367 (Print) New DOI : 10.32804/IRJMST

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EXCHANGE RATE FORECASTING USING THE ARIMA MODEL - INDIA

    2 Author(s):  DR N. NAGARAJA, SREE KRISHNA K S

Vol -  12, Issue- 1 ,         Page(s) : 112 - 121  (2021 ) DOI : https://doi.org/10.32804/IRJMST

Abstract

This study uses data from quarterly time series, to model and forecast exchange rates from 2005 to 2019 by employing the ARIMA methodology on the Indian Rupee / USD exchange rate. ADF Unit root tests and correlogram indicates Indian Exchange rate is a factor I (1) i.e. stationary at first difference. Study gave emphasis on the AIC criteria and examined the ARIMA (2, 4, 0) model.

Alam, M.Z., 2012. Forecasting the BDT/USD exchange rate using autoregressive model. Global Journal of Management and Business Research, 12(19): 84 – 96.
Annachhatre,  M.  2010.  Feasibility  and  scope  of  the  foreign  exchange  derivatives market in India, Ph.D. Thesis, Department of Economics, University of Pune. 
ASSOCHAM, 2011, Exchange Rate Slide –What Impact Is It Having, ASSOCHAM.

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