Forecasting the foreign currency prices using the Box Jenkins approach
Author(s)
Advisor
Yeldan, DilekDate
1989Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
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Abstract
In this thesis, the Box Jenkins approach is applied to forecast
the future prices of foreign currencies, American Dollar and
German Mark, in Turkey’s Black Market using available
observations made between the years 1985-1988. The forecasts
obtained from this approach are compared to the real available
observations. The results show that the Box Jenkins approach is
not accurate enough in this case because of the large mean
absolute deviation between the forecasted and the observed
values of these currencies due to the significant residuals
generated in the diagnostic checking stage.