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

fYear

2013

fDate

20-22 Nov. 2013

Firstpage

49

Lastpage

53

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;

fLanguage

English

Publisher

ieee

Conference_Titel

Consumer Electronics, Communications and Networks (CECNet), 2013 3rd International Conference on

Conference_Location

Xianning

Print_ISBN

978-1-4799-2859-0

Type

conf

DOI

10.1109/CECNet.2013.6703269

Filename

6703269