A Comparison of Univariate and Multivariate Time Series Approaches to Modeling Currency Exchange Rate

Domain:

socioeconomic

Record type:

paper

Creator:

AzuKos

Editor:

DepDep

Publisher:

CCSDJou

Host:

International audience This paper describes a study using Average Monthly Exchange Rates (AMER) of Naira (Nigerian currency) to six other currencies of the World to evaluate and compare the performance of univariate and multivariate based time series models. The data from 2002 -2014 was used for modeling and forecasting the actual values of the AMER for 2014 of the six currencies. The Mean Absolute Percentage Error (MAPE) forecast accuracy measure was also used in determining if Univariate Times Series Model or Multivariate Time Series Models is best for forecasting the future AMER value of a given currency. The result of data showed that the Univariate time series fits better for Dollar, Pounds Sterling, Yen, WAUA and CFA, while only Euro fits well for the Multivariate time series.

Visit

hal.science

Languages

Hamer-Banna

Modeling and forecasting bitumen sales using univariate and multivariate time series approaches: a case study of Algeria's NAFTAL corporation

This study models and forecasts the NAFTAL Corporation’s bitumen sales in Algeria using univariate a

TIME SERIES CLUSTERING IN MULTIVARIATE PRICES MODELING

Time series data are crucial in agricultural price analysis, with the Vector Auto-Regre

Naira Exchange Rate Variation and Nigeria Economic Growth: A Time Series Study

This study examined the effect of exchange rate variation on Nigeria economy. The objective was to i

Impact of exchange rate and exchange rate volatility on foreign direct investment inflow for Mauritius: A dynamic time series approach

Abstract Studies focusing on the determinants of foreign direct investment (FDI) inflow to Sub‐Saha

Modeling and Forecasting Inflation in Ethiopia Using Multivariate Time Series Analysis

Inflation is a fundamental measure of macroeconomic stability that negatively impacts the nation's e