The Moroccan dirham exchange-rate risk management based on the selection of accurate forecasting methods
Dissertant
Thesis advisor
Sharafi, Abd al-Latif
al-Alawi, A. Hamidi
University
Al Akhawayn University
Faculty
The School of Business Administration
University Country
Morocco
Degree
Master
Degree Date
2013
English Abstract
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.
Main Subjects
Financial and Accounting Sciences
Topics
No. of Pages
52
Table of Contents
Table of contents.
Abstract.
Chapter One : Introduction.
Chapter Two : Literature review.
Chapter Three : Data description.
Chapter Four : Methodology.
Chapter Five : Empirical results.
Chapter Six : Conclusions.
References.
American Psychological Association (APA)
Aal, Zaynab Ait. (2013). The Moroccan dirham exchange-rate risk management based on the selection of accurate forecasting methods. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-624803
Modern Language Association (MLA)
Aal, Zaynab Ait. The Moroccan dirham exchange-rate risk management based on the selection of accurate forecasting methods. (Master's theses Theses and Dissertations Master). Al Akhawayn University. (2013).
https://search.emarefa.net/detail/BIM-624803
American Medical Association (AMA)
Aal, Zaynab Ait. (2013). The Moroccan dirham exchange-rate risk management based on the selection of accurate forecasting methods. (Master's theses Theses and Dissertations Master). Al Akhawayn University, Morocco
https://search.emarefa.net/detail/BIM-624803
Language
English
Data Type
Arab Theses
Record ID
BIM-624803