1 / 59

Exchange Rate

Exchange Rate. YuYuan Liu Han Yu Yang Dennis Yue Jessica Chen Jo-Yu Mao. Introduction. In finance, the foreign-exchange rate between two currencies specifies how much one currency is worth in terms of the other.

kisha
Download Presentation

Exchange Rate

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Exchange Rate YuYuan Liu Han Yu Yang Dennis Yue Jessica Chen Jo-Yu Mao

  2. Introduction • In finance, the foreign-exchange rate between two currencies specifies how much one currency is worth in terms of the other. • It has a major impact on a country’s ability on importing and exporting, inflations, foreign investment, and foreign debts.

  3. U.S. urges China to open currency exchange in order to balance import and export proportions. Introduction

  4. Introduction • Sets of data • Trade-Weighted Index • Japan • United Kingdom • Canada • Dates: 1973:01 to 2006:03

  5. Trade-Weighted Index

  6. Regression on Time For TWI

  7. TWI Series

  8. Correlogram and Unit root test for TWI

  9. First Differencing

  10. Correlogram and Unit root test for DTWI

  11. Fitting ARMA Model

  12. Serial Correlation Test and Correlogram for MAone model Residuals

  13. Diagnosis for ARMA model: Residuals Squared Series

  14. Conditional Heteroscedasticity test: Correlogram of residuals squared andARCH-test

  15. Forecast of TWI

  16. Forecast of TWI

  17. Japan

  18. Regression on Time For Japan

  19. Japan Series

  20. Correlogram and Unit root test for Japan

  21. First Differencing

  22. Correlogram and Unit root test for DJapan

  23. Fitting ARMA Model

  24. Diagnosis of ARMA model:residuals graph and histogram

  25. Diagnosis of ARMA model: Correlogram-Qstat of ARMA model & Serial correlation test

  26. Diagnosis for ARMA model: Residuals Squared Series

  27. Conditional Heteroscedasticity test: Correlogram of residuals squared andARCH-test

  28. The Arch-Garch Model

  29. Diagnosis for ARCH model

  30. Forecasting of Japan

  31. Forecast of Japan

  32. United Kingdom

  33. Regression on Time For UK

  34. UK Series

  35. Correlogram and Unit root test for UK

  36. First Differencing

  37. Correlogram and Unit root test for DUK

  38. Diagnosis of ARMA model:residuals graph and histogram

  39. Diagnosis of ARMA model: Correlogram-Qstat of ARMA model & Serial correlation test

  40. Diagnosis for ARMA model: Residuals Squared Series

  41. Conditional Heteroscedasticity test: Correlogram of residuals squared andARCH-test

  42. ARCH-GARCH Model

  43. Forecast of UK

  44. Forecast of UK

  45. Canada

  46. Regression on Time For Canada

  47. Canada Series

  48. Correlogram and Unit root test for Canada

  49. First Differencing

  50. Correlogram and Unit root test for DCanada

More Related