daily uganda shilling/united states dollar exchange rates modeling by box-jenkins techniques

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 sevenday 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.