Ting, Heng Sheng and Rusiman, Mohd Saifullah and Che Him, Norziha and Sufahani, Suliadi Firdaus and Nasibov, Efendi (2021) Analysis of time series for Malaysian currency exchange rate to the United States currency. In: SCIEMATHIC 2020, 1-2 December 2020, UTHM.
![[img]](http://eprints.uthm.edu.my/style/images/fileicons/text.png) |
Text
P12647_857bb7f00a0e44cc249f721bdf390066.pdf Restricted to Registered users only Download (531kB) | Request a copy |
Abstract
Currency exchange rate is one of the external factors that will affect the financial status of Malaysia. Therefore, forecasting the foreign currency exchange rate is important for the financial decision makers, bankers, academic researchers and business practitioners. Time series method is an important area of predicting future data based on the past data. In this study, Auto-Regressive Integrated Moving Average (ARIMA), Double Exponential Smoothing method and Holt-Winter additive method will be used to forecast the data of currency exchange rate of Malaysia Ringgit (RM) to United States of America Dollar (USD). The Mean Absolute Percentage Error (MAPE) for ARIMA, Double Exponential Smoothing method and Holt-Winter additive method are 0.9400, 0.9035 and 2.2686 respectively. In conclusion, the model generated by using Double exponential Smoothing method is the best model to forecast the currency data with the lowest value of MAPE, Mean Absolute Error (MAE) and Mean Square Error (MSE) compared to ARIMA method and Holt-Winter Additive method.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Subjects: | H Social Sciences > HG Finance > HG4001-4285 Finance management. Business finance. Corporation finance |
| Divisions: | Faculty of Applied Science and Technology > Department of Mathematics and Statistics |
| Depositing User: | Mr. Abdul Rahim Mat Radzuan |
| Date Deposited: | 25 Oct 2021 07:54 |
| Last Modified: | 25 Oct 2021 07:54 |
| URI: | http://eprints.uthm.edu.my/id/eprint/2616 |
Actions (login required)
 |
View Item |