Modeling and forecasting the exchange rate of Jordanian dinar versus four of the major international currencies

Abstract EN

The objective of this study is to build a model for the exchange rate of the Jordanian Dinar (JD) with the major international foreign currencies: the US Dollar (DOL), the Sterling Pound (BP), the Dutch Mark (DM), and the French Frank (FF).

In this study we have used the following univariate models: autoregressive model with order p; AR(p), moving average model with order q;AL4(q), integrated seasonal autoregressive moving average models; ARIMA(p,d,q)(P,D,Q)s, single and double exponential smoothing models, multiplicative Winter’s models, and multivariate aautoregressive moving average models; M-ARMA.

These models were then used to forecast the exchange rate of JD with the four currencies.

The results indicated that the univariate model is better than the multivariate models, ARIMA-based models are more appropriate for DOLJD, BPJD, and FFJD, while single exponential smoothing model for DMJD.