Bachelor´s Degree Project: Exchange rate analysis between the US dollar and the Japanese yen

  • Date: 11 September 2023, 10:15–11:00
  • Location: Only on Zoom (link: 699 250 9213)
  • Type: Course
  • Lecturer: Yuta Sakiyama
  • Organiser: Matematiska institutionen
  • Contact person: Rolf Larsson

Welcome to Yuta Sakiyama´s presentation of his bachelor´s degree project with the title "Exchange rate analysis between the US dollar and the Japanese yen".

Abstract:

The exchange rate between the US dollar and the Japanese Yen is analyzed with three models called the ARIMA model, the GARCH model and the Fractional Differencing model. We use log-transformed data and compare with the Ljung-Box p values for ARIMA models. Furthermore, the Akaike information criteria called AIC and the mean square error called MSE are used to evaluate the performances of the models. In conclusion, the fractional differencing model is the best one of the three types of models because its MSE for predictions has the smallest value.

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