Resumo

DE LA OLIVA DE CON, Fidel; JIMENO LIENS, Raydel  e  DIAZ DE VILLEGAS JORDAN, Lissette. An Approach to Box-Jenkins Methodology to Forecast EUR/USD Rate Exchange. Cofin [online]. 2016, vol.10, n.1, pp.57-75. ISSN 2073-6061.

In global economy dynamics, rate exchanges forecast´s accuracy, or at least the adequate prediction of their trends, are of the outmost importance for any future investment. The main motivation of the present study is to examine the application of self-regressive models to forecast the EUR/USD rate exchange. This article has followed the traditional Box-Jenkins approach to examine the motionless stage of the series and to get the better specification to predict such variable. The main result states that either for the internal as well as forthe external data of the sample, MA and ARIMA specifications are good to predict the future trend of the EUR/USD rate exchange, within the context of the statistic steps to evaluate the models´ performance.

Palavras-chave : motionless; models; forecast; time series.

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