International Journal of Research in Finance and Management
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E-ISSN: 2617-5762|P-ISSN: 2617-5754

2024, Vol. 7, Issue 1

Predicting exchange rate between US Dollar (USD) and Indian rupee (INR): An empirical analysis using SARIMA Model

Dr. Tamizharasi D, Dr. Purushottam Bung and Dr. Jahnavi M

Prediction of exchange rates is an important task of traders and practitioners in the recent financial markets era. Many statistical and econometric models are used in the time series analysis and prediction of foreign exchange rates. This study investigates the behavior of weekly exchange rates of the Indian rupee (INR) against the US dollar (USD) using time series analysis. This study used the SARIMA model in forecasting the INR/USD by aggregating seasonal data patterns in the foreign exchange market. Weekly RBI reference exchange rates from June 2013 to June 2023 were considered for the analysis. Finally, a forecast for ninety days was calculated which showed a depreciation of the Indian rupee against the US Dollar. The study found that the SARIMA model can be a better forecasting ability in advance of the prediction of currency exchange rates and momentum in the currency market.
Pages : 56-63 | 671 Views | 406 Downloads


International Journal of Research in Finance and Management
How to cite this article:
Dr. Tamizharasi D, Dr. Purushottam Bung, Dr. Jahnavi M. Predicting exchange rate between US Dollar (USD) and Indian rupee (INR): An empirical analysis using SARIMA Model. Int J Res Finance Manage 2024;7(1):56-63. DOI: 10.33545/26175754.2024.v7.i1a.283
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