Random walk analysis and forecasting of the Philippine peso and US dollar exchange rates from 1979-2014

Date of Publication

2015

Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Statistics Major in Actuarial Science

Subject Categories

Statistics and Probability

College

College of Science

Department/Unit

Mathematics and Statistics

Abstract/Summary

Daily Philippine Peso (PhP) - US Dollar (USD) exchange rates from 1979-2014 were examined using random walk analysis and forecasting. This study aims to determine the existence of random walk and find highly accurate predictive models. It was shown that the exchange rates do not follow a random walk by autoregressive integrated moving average (ARIMA) modeling and the obtained best fit ARIMA model is ARIMA(0,1,1). A variance ratio test was also used to analyze the random walk of specific intervals and discovered that 1993-1994 is a relevant time period in this test. In forecasting these exchange rates, linear and nonlinear models were obtained through ARIMA and Artificial Neural Network (ANN). Accurate out-of-sample forecasts were generated using these methods.

Abstract Format

html

Language

English

Format

Electronic

Accession Number

CDTU021100

Shelf Location

Archives, The Learning Commons, 12F, Henry Sy Sr. Hall

Physical Description

1 computer disc ; 4 3/4 in.

Keywords

Foreign exchange rates--Philippines--Forecasting; Random walks (Mathematics)

Embargo Period

5-12-2021

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