| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 96 === Abstract
This research takes the US Dollars spot exchange rate against New Taiwanese Dollars for research object. The sample period extends two estimation periods, one is from Jan.1st, 2006 to May 31st, 2008; the other is from Mar.1st, 2008 to May 31st, 2008. The ex post forecast period is from Jun.1st, 2008 to Jun.20st, 2008. For finding the most suitable forecasting model, we use ARIMA model and analyze the historic data of the exchange rate. Besides, we will evaluate the performance of different estimation periods
No matter it is a long-term (Jan.1st, 2006 to May 31st, 2008) or short-term (Mar.1st, 2008 to May 31st, 2008) estimation periods, the result of research shows that both of estimation periods have the good forecast achievement. It demonstrated that ARIMA models perform well in exchange rate forecast. In addition, forecast the US Dollars spot exchange rate against New Taiwanese Dollars by using ARIMA models, the finding is, for the forecast of US Dollars exchange spot rate against New Taiwan Dollars, New Taiwan Dollars is facing the tendency towards to appreciate.
Keywords : exchange rate ; exchange rate forecasting ; time series ; ARIMA
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