There is an increasing importance to forecast the exchange rate as international trading takes the center stage in more and more countries. This paper postulates some simple time series models that can be used for quite effective and accurate forecasts in international forex markets of major international currencies in relation to the Australian dollar. After comparing various time series models, the paper observes that Box-Jenkins AR is the best model for forecasting exchange rates.
|Number of pages
|South Asian Journal of Management
|Published - Jul 1997