Forecasting the BDT/USD Exchange Rate Using Autoregressive Model

Md. Zahangir Alam
Md. Zahangir Alam * §
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Forecasting the BDT/USD Exchange Rate Using Autoregressive Model

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Abstract

The key motivation of this study is to examine the application of autoregressive model for forecasting and trading the BDT/USD exchange rates from July 03, 2006 to April 30, 2010 as in-sample and May 01, 2010 to July 04, 2011 as out of sample data set. AR and ARMA models are benchmarked with a naïve strategy model. The major findings of this study is that in case of in-sample data set, the ARMA model, whereas in case of out-of-sample data set, both the ARMA and AR models jointly outperform other models for forecasting the BDT/USD exchange rate respectively in the context of statistical performance measures. As per trading performance, both the ARMA and naive strategy models outperform all other models in case of in-sample data set. On the other hand, both the AR and naive strategy models do better than all other models in case of out-of-sample data sets as per trading performance.

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Md. Zahangir Alam. . "Forecasting the BDT/USD Exchange Rate Using Autoregressive Model". Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 12 (GJMBR Volume 12 Issue B19).

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords
and Naïve StrategyAutoregressive and Autoregressive Moving Average ModelsForecasting
Classification
GJMBR-B Classification JEL Code: C53
  • Submission ReceivedDecember 16, 2011
  • Peer Review Double Blind
    Handling Editor
  • Accepted December 31, 2011
  • Published January 15, 2012
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Forecasting the BDT/USD Exchange Rate Using Autoregressive Model

Md. Alam
Md. Alam International Islamic University Chittagong, Dhaka Campus, Bangladesh.
  • Submission ReceivedDecember 16, 2011
  • Peer Review Double Blind
    Handling Editor
  • Accepted December 31, 2011
  • Published January 15, 2012