Forecast Foreign Exchange Rate: The Case Study of PKR/USD

Muhammad  Asadullah; Nawaz  Ahmad; Maria José Palma Lampreia  Dos-Santos

doi:10.36941/mjss-2020-0048

Authors

Muhammad Asadullah PhD, Lecturer, IoBM, Korangi Creek, Karachi, Karachi City, Sindh 75190, Pakistan
Nawaz Ahmad PhD, Assistant Professor, IoBM, Korangi Creek, Karachi, Karachi City, Sindh 75190, Pakistan
Maria José Palma Lampreia Dos-Santos Assistant Professor, ISCTE- University Institute of Lisbon, Av. das Forças Armadas, 1649-026 Lisboa, Portugal ESCS-IPL, Campus de Benfica do IPL, 1549-014 Lisboa, Portugal

DOI:

https://doi.org/10.36941/mjss-2020-0048

Abstract

The main aim of this paper is to forecast the future values of the exchange rate of the USD. Dollar (USD) and Pakistani Rupee (PR). For this purpose was used the ARIMA model to forecast the future exchange rates, because the time series was stationary at first difference. Data reported to five years ranging from the first day of April 2014 to 31st March 2019. The results proved that ARIMA (1,1,9) is the most suitable model to forecast the exchange rate. The difference between the forecasted values and actual values are less than 1%; therefore, it was found that the ARIMA is robust and this model will be helpful for the government functionaries, monetary policymakers, economists and other stakeholders to identify and forecast the future trend of the exchange rate and make their policies accordingly.