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The Exchange Rate Forecasting of Ringgit Malaysia<br />

against United State Dollar<br />

Muhammad Faiz Bin Abdul Haris<br />

Supervisor: Dr. Nurfadhlina Binti Abdul Halim<br />

Bachelor of Science (Financial Mathematics)<br />

School of Informatics and Applied Mathematics<br />

Foreign exchange rates is important in determine the level of trading performed for a<br />

country in a market. This study was conducted to obtain the best fit model in forecasting<br />

the foreign exchange rate and then predict the exchange rate of Ringgit Malaysia against<br />

US Dollar for 2017 by using Box Jenkins approach. The Ringgit Malaysia exchange rate<br />

timeline data for 2014 to 2016 obtained from Bank Negara Malaysia was used in this<br />

study. The accuracy of the forecast is compared with Mean Absolute Percentage Error<br />

(MAPE) and Mean Square Error (MSE). Model ARIMA (1,1,0) is the best model to forecast<br />

the exchange rate of Ringgit Malaysia against US Dollar with MSE of 0.0004755 and<br />

MAPE of 5.2884%.<br />

824 | UMT UNDERGRADUATE RESEARCH DAY 2018

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