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الرئيسية > Comparison of Different Statis...>الوصف

Comparison of Different Statistical Models for Forecasting Exchange Rate of Somali Shilling Against US Dollar

المصدر: المجلة العلمية لقطاع كليات التجارة
الناشر: جامعة الأزهر - كلية التجارة
المؤلف الرئيسي: Alshawadfi, Gamal A. (Author)
مؤلفين آخرين: Hagag, Abd-El-Wahab E. (Co-Author), Nimcale, Mohamed A. (Co-Author)
المجلد/العدد: ع23
محكمة: نعم
الدولة: مصر
التاريخ الميلادي: 2020
الشهر: يناير
الصفحات: 35 - 76
DOI: 10.21608/jsfc.2020.247938
ISSN: 2636-3674
رقم MD: 1301532
نوع المحتوى: بحوث ومقالات
اللغة: الإنجليزية
قواعد المعلومات: EcoLink
مواضيع:
سعر الصرف | الشلن الصومالي | الدولار الأمريكي
كلمات المؤلف المفتاحية:
Somali Shilling | Box-Jenkins | Volatility Models | Conditional Variance | Exchange Rate Return
رابط المحتوى:

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المستخلص: The main goal of this paper is to model and forecast the daily exchange rate of Somali Shilling (SOS) against United States Dollar (USD) over the period of 1st January 2009 to 31st December 2018 using Box-Jenkins models and Autoregressive Conditional Heteroskedasticity (ARCH) family models to compare between them and selected an appropriate one. Box-Jenkins models are employed for modeling and forecasting data using the steps of Box-Jenkins methodology. Additionally, non-normality, skewness, leptokurtosis, volatility clustering, and existence of ARCH effects in the residuals are observed in the data, therefore, ARCH family models which include ARCH, Generalized ARCH (GARCH), Exponential (EGARCH), and Threshold (TGARCH) are developed under three error distributions namely normal distribution, t-student distribution and Generalized Error Distribution(GED). The empirical analysis has shown that ARMA(0, 6) is the most appropriate model for the estimated models using Akaike Information Criteria (AIC) and Schwarz Information Criteria (SIC) as a selection criteria and also for the forecasted models using Root Mean Square Error (RMSE), Mean Absolute Error (MAE) and Mean Absolute Percentage Error (MAPE) as forecasting accuracy while estimating and forecasting the conditional variance of volatility models, it was found that ARCH(6) under t-student is the best model. After comparing between the models, the result declared that ARCH family models are superior to Box-Jenkins. Moreover, Diebold Mariano (1995) test is applied and revealed that the ARMA models and ARCH family models have same predictive ability which implies that the DM (1995) test does not prefer any model over the other.
ISSN: 2636-3674

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