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ARIMA FOR FORECASTING THE EXCHANGE RATE OF THE THAI BAHT AGAINST THE CHINESE YUAN
Keywords:
Akaike information criterion, augmented Dickey-Fuller test, simple moving average, stationary, time seriesDOI:
https://doi.org/10.17654/0972361723004Abstract
The aim of this article is to forecast the exchange rate of the Thai Baht (THB) against the Chinese Yuan (CNY) by using the autoregressive integrated moving average (ARIMA) model. The historical monthly exchange rates were collected from January 2011 to September 2022 (141 months). The Akaike information criterion (AIC) was utilized as a model selection criterion to choose the best model. The result indicates that the was the best model with the lowest AIC of –377.04 and three-month ahead predicted exchange rates from October to December 2022 by using the best-fitted model were provided. These results may give more valuable information to decision-makers regarding financial investment opportunities.
Received: October 17, 2022; Accepted: November 28, 2022; Published: December 19, 2022
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