Daily Uganda Shilling/United States Dollar Exchange Rates Modeling by Box-Jenkins Techniques

Daily Uganda Shilling/United States Dollar Exchange Rates Modeling by Box-Jenkins Techniques

Blog Article

A 180-point daily exchange rate series of the Uganda shilling (UGX) and the United States dollar (USD) covering from 25 August 2014 to 20 February 2015 is analyzed by 5 Pc. Sectional w/ Ottoman Package seasonal Box-Jenkins methods.A time-plot of the series shows an upward trend indicating a relative depreciation of the UGX.A seven-day differencing of the series yield a series that is adjudged stationary by the Augmented Dickey Fuller (ADF) Test.

However, its correlogram contradicts a stationarity hypothesis.A non-seasonal differencing of this series produces a series adjudged as stationary and having an autocorrelation function that suggests two models, namely: a SARIMA(0,1,1)x(0,1,1)7 and a SARIMA(0,1,1)x(1,1,1)7.Diagnostic Travel Mug checking methods used to compare the two models reveal that the former model is the more adequate model.

Hence it is proposed that the exchange rates follow a SARIMA(0,1,1)x(0,1,1)7 model.Forecasting might therefore be based on this model.