Title: Karachi inter-bank offered rate (KIBOR) forecasting: Box-Jenkins (ARIMA) testing approach
Authors: Ahmed, Rizwan Raheem
Vveinhardt, Jolita
Ahmad, Nawaz
Šreimikienė, Dalia
Citation: E+M. Ekonomie a Management = Economics and Management. 2017, č. 2, s. 188-198.
Issue Date: 2017
Publisher: Technická univerzita v Liberci
Document type: článek
URI: http://hdl.handle.net/11025/26257
ISSN: 2336-5604 (Online)
1212-3609 (Print)
Keywords: KIBOR;ARMA;ARIMA;Box-Jenkins;předpovídání
Keywords in different language: KIBOR;ARMA;ARIMA;Box-Jenkins;forecasting
Abstract in different language: The aim of this paper is to fi nd out the forecasting model that is the one, which gives the best output of forecasting. So that policy makers can be benefi ted from this research. Thus, this research will also evaluate the performance of ARMA, and Box-Jenkins (ARIMA) forecasting models for KIBOR in case of Pakistan. Karachi Inter Bank Offer Rates (KIBOR) is the average interest rate at which banks want to lend money to other banks. KIBOR as a benchmark, to encourage transparency, to promote consistency in market based pricing and to improve management of the market risk undertaken by banks. Researchers have used 6-month rates of KIBOR; data is of 4 years from 2012 to 2015. Therefore, keeping in view of the importance of KIBOR, the objective of this research is to forecast, Karachi Inter Bank Offer Rates (KIBOR) using time series autoregressive moving average (ARMA), Box-Jenkins (ARIMA) model. The study is signifi cant at 1%, the forecasting of rates shows that the rates are very close to the actual one and it further concluded that the applied model Box-Jenkins (ARIMA) is perfect for the forecasting. The results of AIC revealed that there is no evidence of autocorrelation and there is no sample error and the model is useful and robust. It is fi nally concluded that the forecasting of KIBOR rates by ARIMA (Box-Jenkins) model is very helpful for policy makers. The results extracted from this model are reliable for making any forecasting and also benefi cial for government functionaries, fi nancial experts and policy makers of fi nancial institutions in order to device their future strategies.
Rights: © Technická univerzita v Liberci
CC BY-NC 4.0
Appears in Collections:Číslo 2 (2017)
Číslo 2 (2017)

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