Modelling the Currency in Circulation for the State of Qatar.

Balli, Faruk and Elsamadisy, Elsayed (2010): Modelling the Currency in Circulation for the State of Qatar.

Abstract

The main concern of this report is to model the daily and weekly forecasting of the currency in circulation (CIC) for the State of Qatar. The time series of daily observations of the CIC is expected to display marked seasonal and cyclical patterns daily, weekly or even monthly basis. We have compared the forecasting performance of typical linear forecasting models, namely the regression model and the seasonal ARIMA model using daily data. We found that seasonal ARIMA model performs better in forecasting CIC, particularly for short-term horizons.

• Item Type: MPRA Paper
• Language: English
• Keywords: Currency in Circulation, Forecasting, Seasonal ARIMA
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods

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