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314864

Box-Jenkins Forecasting Arima Models as Applied to Commercial Banks' Deposits

Article

Last updated: 28 Dec 2024

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Abstract

The Box-Jenkins ARIMA model is used in this article to identify statistical forecasting models for the commercial banks deposits in Egypt. Four models have been identified according to the type of the sun deposits. For every type of deposit two sets of data have been considered, monthly and quarterly. The time-series analysis for both demand and savings deposits demand are shows that nonstationary seasonal time-series. The demand deposits have been identified to be an ARIMA (0, 1,1) (0,1,1)s while the savings deposits are an ARIMA (0, 2, 1) (0, 1,1)s , where S = 4 or 12, which indicates a model for quarterly or monthly data respectively.

DOI

10.21608/esju.1992.314864

Keywords

Time-Series, Nonstationary, Autoregressive Processes, Moving average processes, seasonality, hypothesis testing, Forecasting

Authors

First Name

Ibrahim

Last Name

Ibrahim

MiddleName

Hassan

Affiliation

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Email

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Orcid

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Volume

36

Article Issue

2

Related Issue

43182

Issue Date

1992-12-01

Receive Date

2023-08-28

Publish Date

1992-12-01

Page Start

234

Page End

254

Print ISSN

0542-1748

Online ISSN

2786-0086

Link

https://esju.journals.ekb.eg/article_314864.html

Detail API

https://esju.journals.ekb.eg/service?article_code=314864

Order

6

Type

Original Article

Type Code

1,914

Publication Type

Journal

Publication Title

The Egyptian Statistical Journal

Publication Link

https://esju.journals.ekb.eg/

MainTitle

Box-Jenkins Forecasting Arima Models as Applied to Commercial Banks' Deposits

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Type

Article

Created At

28 Dec 2024