Karachi inter-bank offered rate (kibor) forecasting: Box-jenkins (arima) testing approach

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dc.contributor.author Ahmed, Rizwan Raheem
dc.contributor.author Vveinhardt, Jolita
dc.contributor.author Ahmad, Nawaz
dc.contributor.author Štreimikienė, Dalia
dc.contributor.other Ekonomická fakulta cs
dc.date.accessioned 2017-06-26
dc.date.available 2017-06-26
dc.date.issued 2017-06-15
dc.identifier.issn 1212-3609
dc.identifier.uri https://dspace.tul.cz/handle/15240/20851
dc.description.abstract The aim of this paper is to find out the forecasting model that is the one, which gives the best output of forecasting. So that policy makers can be benefited 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 significant 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 finally 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 beneficial for government functionaries, financial experts and policy makers of financial institutions in order to device their future strategies. en
dc.format text
dc.format.extent 188-198 stran cs
dc.language.iso en
dc.publisher Technical university of Liberec, Czech Republic en
dc.publisher Technická Univerzita v Liberci cs
dc.relation.ispartof Ekonomie a Management cs
dc.relation.ispartof Economics and Management en
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dc.rights CC BY-NC
dc.subject KIBOR en
dc.subject ARMA en
dc.subject Box-Jenkins en
dc.subject ARIMA en
dc.subject forecasting en
dc.subject.classification B23
dc.subject.classification E4
dc.subject.classification E5
dc.subject.classification E47
dc.title Karachi inter-bank offered rate (kibor) forecasting: Box-jenkins (arima) testing approach en
dc.type Article en
dc.publisher.abbreviation TUL
dc.relation.isrefereed true
dc.identifier.doi 10.15240/tul/001/2017-2-014
dc.identifier.eissn 2336-5604
local.relation.volume 20
local.relation.issue 2
local.relation.abbreviation E+M cs
local.relation.abbreviation E&M en
local.faculty Faculty of Economics
local.citation.spage 188
local.citation.epage 198
local.access open
local.fulltext yes

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