Predicting Exchange Rates of Morocco Using an Econometric and a Stochastic Model

Ezouine Driss, Idrissi Fatima

Abstract


To predict the exchange rate EUR / MAD & USD / MAD in Morocco we used two most answered methods in the theory: the Box-Jenkins econometric model and the stochastic model of Vasicek then the comparison of the forecasted data for the month of March 2018 of the two methods with the exchange rates actually observed allowed us to retain the econometric the autoregressive integrated moving average model ARIMA (2,1,2) for EUR / MAD and (3,1,2) for USD / MAD rather than the Vasicek model.


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DOI: https://doi.org/10.22158/ijafs.v1n1p54

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