Exchange Rate Forecasting in The West African Monetary Zone: A Comparison of Forecast Performance of Time Series Models

  • Haruna Issahaku
  • Hamdeeya Abdulai
  • Maryiam Kriese
  • Simon K. Harvey
Keywords: forecasting, exchange rate, West African Monetary Zone(WAMZ), timme series model, Root Mean square(RMSE), forcast evaluation

Abstract

it has become an undisputable fact in economics and finance that conventional exchange rate determination models cannot outperform the random Walk Model (RWM) in out-of-sample forecast. We evaluate the empirical varacity of this ell-known fact in the West African Zone (WAMZ). We compare the out-of-sample forecast accuracy of the random walk hypothesis vis-a-vis the Autoregressive Integrated moving Average (ARIMA) model.

Published
2018-02-01
Section
Articles