caerCentral Asian Economic ReviewCentral Asian Economic Review2789-43982789-4401Университет Нархозcaer-232Research ArticleФИНАНСЫ И АНАЛИЗFINANCE AND ANALYSISCONSTRUCTING AN EXCHANGE RATE MODEL OF THE LOCAL CURRENCY IN R PROGRAMCONSTRUCTING AN EXCHANGE RATE MODEL OF THE LOCAL CURRENCY IN R PROGRAMUssenbayevN. B.UssenbayevN. B.

Associate professor

Almaty

AkhmetovT. B.AkhmetovT. B.

PhD, Associate professor

Almaty

AgymbaiA. O.AgymbaiA. O.

Candidate of economic sciences

Almaty

RaushanovY. M.RaushanovY. M.

PhD student

Almaty

University NarxozKazakhstanUniversity of Foreign Languages and Business CareerKazakhstanNarxoz UniversityKazakhstan201828082018042635Copyright © Ussenbayev N.B., Akhmetov T.B., Agymbai A.O., Raushanov Y.M., 20182018Ussenbayev N.B., Akhmetov T.B., Agymbai A.O., Raushanov Y.M.Ussenbayev N.B., Akhmetov T.B., Agymbai A.O., Raushanov Y.M.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://caer.narxoz.kz/jour/article/view/232

Научная статья посвящена исследованию по выявлению факторов, влияющих на обменный курс национальной валюты в Казахстане с использованием программы R, а также изучению применимости авторегрессионной интегрированной скользящей средней (ARIMA) моделей для построения его прогнозов в краткосрочной перспективе.

Purpose – The main purpose of this paper is to reveal core factors influencing the exchange rate of the national currency in Kazakhstan, a commodity currency, using R program. The other purpose is to understand the applicability of an Autoregressive Integrated Moving Average (ARIMA) model for constructing such exchange rate model in a short-term period.Methodology – The paper develops a forecasting ARIMA model of exchange rate based on econometric, statistical and time-series analysis. It includes some data of the exchange rate and prices of oil, mineral and agricultural products and some aspects reflecting a construction of a solid model according to conventionally accepted criteria.Originality/value – Authors, according to their belief and to their extent of expertise, tried to consider all relevant factors influencing the exchange rate and conducted a research that revealed variables influencing on the value of the national commodity currency and forming its exchange rate.Findings – One of important results of this paper was development of an ARIMA model, which could be applied to forecast the exchange rate of the local currency in a short-term period. The strong correlations were confirmed among such financial components as: exchange rate, oil, wheat, some metals and the Russian ruble. A forecast for the exchange rate of the local currency is provided.

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The authors declare that there are no conflicts of interest present.