The Moroccan dirham exchange-rate risk management based on the selection of accurate forecasting methods

مقدم أطروحة جامعية

Aal, Zaynab Ait

مشرف أطروحة جامعية

Sharafi, Abd al-Latif
al-Alawi, A. Hamidi

الجامعة

جامعة الأخوين

الكلية

كلية إدارة الأعمال

دولة الجامعة

المغرب

الدرجة العلمية

ماجستير

تاريخ الدرجة العلمية

2013

الملخص الإنجليزي

Accurate forecasting of the exchange rates of returns is an important factor in risk management.

The aim of this thesis is to compare between different methods of forecasting widely used to manage exchange rates risk.

The study focuses on investigating the accuracy of GARCH-ARMA model and technical analysis: Bollinger Bands and Relative Strength Index in forecasting directions and signals of monthly exchange rates of return.

The data used in the study include exchange rates of Euro, US Dollar, Canadian Dollar, Japanese Yen, Chinese Yuan, and Saudi Arabian Riyal, with respect to the Moroccan Dirham covering a period from January 2000 to September 2013 for Euro and from January 1970 to September 2013 for the other currencies.

The accuracy is tested based on chi-squared test of goodness of fit and Students t-test.

Empirical results showed that GARCH-ARMA model was most closely correct in predicting exchange rate of returns signs from January 2003 to September 2013.

However, findings do not favor Relative Strength Index and Bollinger Bands indicators.

التخصصات الرئيسية

العلوم المالية و المحاسبية

الموضوعات

• التنبؤات
• سعر الصرف
• المغرب

عدد الصفحات

52

قائمة المحتويات

• APA
• MLA
• AMA

لغة النص

الإنجليزية

نوع البيانات

رسائل جامعية

رقم السجل

BIM-624803