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BOX & JENKINS METHOD
I. Introduction
Many market participants, namely, international investors, banks, non-bank financial institutions, portfolio managers, are interested in coming up with a model, which accurately predicts exchange rates. Managers of multinational corporations are interested in accuracy of such foreign exchange prediction models as it directly impacts their activities relating to exposure management, hedging, arbitraging, investing and financing decisions. Policymakers frequently monitor exchange rates to better understand their impact on trade positions, and consequently, domestic employment, business and revenue prospects. Nowadays, more attention is being focused on foreign exchange rate prediction models since the foreign exchange market is considered to be the world's biggest financial market, with an average daily trading of $ 1.2 trillion.
The failure of standard economic models to display any out-of-sample forecasting ability over horizons of up to one......
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Title: Box & Jenkins Method
Approximate Word Count: 2960
Approximate Pages: 12 (250 words per double-spaced page)
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Box & Jenkins Method
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