Title :
A study of the USDX based on ARIMA model — A correlation analysis between the USDX and the Shanghai index
Author :
Weiqing Wang ; Ya Lv
Author_Institution :
Dongling Sch. of Econ. & Manage., Univ. of Sci. & Technol. Beijing, Beijing, China
Abstract :
In order to predict and describe the volatility of the U.S. dollar index, the ARIMA model is used to study the U.S. dollar index. After establishing the time series model, we use the model to predict future trends of the U.S. dollar index the results show that ARIMA model is a proper short-term forecasting method. It is effective when predicting for a month. Then in order to get further analysis of USDX, we study the correlation between the Shanghai index and the U.S. Dollar Index, and found there is a strong negative relationship between them.
Keywords :
autoregressive moving average processes; exchange rates; time series; ARIMA model; Shanghai index; US dollar index; USDX; correlation analysis; short-term forecasting method; time series model; Autoregressive processes; Correlation; Exchange rates; Indexes; Predictive models; Stock markets; Time series analysis; ARIMA; Correlation; Dollar Index; Shanghai Index;
Conference_Titel :
Consumer Electronics, Communications and Networks (CECNet), 2013 3rd International Conference on
Conference_Location :
Xianning
Print_ISBN :
978-1-4799-2859-0
DOI :
10.1109/CECNet.2013.6703269
