Abstract

In this paper, we consider two univariate time series models of predicting the dynamics of the exchange rate (using mid-rate data) of the Ghana cedi to the US dollar over a 10year 2months period from January 2004, to February 2015. We consider out-of-sample forecast for the next three years of the exchange rate. The time series models considered for this objective are the Autoregressive Integrated Moving Average (ARIMA) and the Random walk model. We find modest differences between these two models based on the out-of-sample forecast. Interestingly, both models perform similarly based on forecast values. Forecast values shows that the exchange rate of the Ghana cedi to the American dollar will increase continuously in the next three (3) years.

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