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2019•Munich Personal RePEc Archive (Ludwig Maximilian University of Munich)Open access

ARIMA modeling and forecasting of inflation in Egypt (1960-2017)

Thabani Nyoni

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Abstract

This research uses annual time series data on inflation rates in Egypt from 1960 to 2017, to model and forecast inflation using ARIMA models. Diagnostic tests indicate that E is I(1). The study presents the ARIMA (0, 1, 1). The diagnostic tests further imply that the presented optimal ARIMA (0, 1, 1) model is stable and acceptable for predicting inflation in Egypt. The results of the study apparently show that E will be approximately 23.3% over the out-of-sample forecast period. The CBE is expected to continue tightening Egypt’s monetary policy in order to restore price stability.

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What this paper is about

This research uses annual time series data on inflation rates in Egypt from 1960 to 2017, to model and forecast inflation using ARIMA models. Diagnostic tests indicate that E is I(1). The study presents the ARIMA (0, 1, 1). The diagnostic tests further imply that the presented optimal ARIMA (0, 1, 1) model is stable and acceptable for predicting inflation in Egypt. The results of the study apparently show that E will be approximately 23.3% over the out-of-sample forecast period. The CBE is expected to continue tightening Egypt’s monetary policy in order to restore price stability.

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Available abstract

This research uses annual time series data on inflation rates in Egypt from 1960 to 2017, to model and forecast inflation using ARIMA models. Diagnostic tests indicate that E is I(1). The study presents the ARIMA (0, 1, 1). The diagnostic tests further imply that the presented optimal ARIMA (0, 1, 1) model is stable and acceptable for predicting inflation in Egypt. The results of the study apparently show that E will be approximately 23.3% over the out-of-sample forecast period. The CBE is expected to continue tightening Egypt’s monetary policy in order to restore price stability.

Key concepts: Autoregressive integrated moving average, Inflation (cosmology), Econometrics, Economics, Sample (material), Time series, Order (exchange), Series (stratigraphy)

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