%0 Journal Article %T Daily Uganda Shilling/United States Dollar Exchange Rates Modeling by Box-Jenkins Techniques %J International Journal of Management, Accounting and Economics %I Mashhad: Behzad Hassannezhad Kashani %Z 2383-2126 %A Etuk, Ette Harrison %A Natamba, Bazinzi %D 2015 %\ 04/01/2015 %V 2 %N 4 %P 425-431 %! Daily Uganda Shilling/United States Dollar Exchange Rates Modeling by Box-Jenkins Techniques %K Uganda shilling %K United States Dollar %K foreign exchange rates %K SARIMA modeling %R %X A 180-point daily exchange rate series of the Uganda shilling (UGX) and the United States dollar (USD) covering from 25 August 2014 to 20 February 2015 is analyzed by seasonal Box-Jenkins methods. A time-plot of the series shows an upward trend indicating a relative depreciation of the UGX. A seven-day differencing of the series yield a series that is adjudged stationary by the Augmented Dickey Fuller (ADF) Test. However, its correlogram contradicts a stationarity hypothesis.  A non-seasonal differencing of this series produces a series adjudged as stationary and having an autocorrelation function that suggests two models, namely: a SARIMA(0,1,1)x(0,1,1)7 and a SARIMA(0,1,1)x(1,1,1)7. Diagnostic checking methods used to compare the two models reveal that the former model is the more adequate model. Hence it is proposed that the exchange rates follow a SARIMA(0,1,1)x(0,1,1)7 model. Forecasting might therefore be based on this model. %U https://www.ijmae.com/article_115483_b7fbb50745e1d0f3e20ea1a8965b7471.pdf