Abstract:

The aim of this study consists in analyzing the importance of the exchange rate forecast using the Box-Jenkins models, also known as AutoRegressive Integrated Moving Average (ARIMA) models. The first part of the paper presents the main research in this field, which can be classified in two categories (studies applying classical methods, such as Box-Jenkins models and studies which rely on sophisticated prediction tools), and summarizes the main findings of some of the studies applying Box-Jenkins models. In the second part of the paper we performed a EUR/RON exchange rate analysis and forecasting, based on testing several AR, MA and ARMA candidate processes, in order to find out the best fitting model specification.  The time series employed has daily frequency and covers the timeframe 4 July 2005 – 5 December 2017. The empirical findings have passed the goodness-of-fit tests and show a good predictive power. The forecast performed for a six month period (December 2017 – May 2018) has indicated a slow pace, persistent increase of the EUR/RON exchange rate, which is confirmed by the expectations of market participants (financial analysts, banks’ research departments).