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A
Comprehensive Project Report
On
“Forecasting Techniques of Exchange Rate in Foreign
Exchange Market”
In Fulfillment of the requirements for the fulltime two years MBA program under
Gujarat Technological University
On
28th February, 2013
Submitted To:

Guided By:

Gujarat Technological University

Prof. Shweta Bambuwala

Submitted By:
Suruchi Agrawal

(Enrolment no.117350592036)

“N.R. INSTITUTE OF BUSINESS MANAGEMENT” AHMEDABAD

N. R. Institute of Business Management (GLS-MBA)

Certificate
This is to certify that Ms. Suruchi Agrawal (Enrolment no.117350592036) student of N. R. Institute of Business Management (GLS-MBA) has successfully completed their comprehensive Project on ‘Forecasting Techniques Of Exchange Rate in Foreign Exchange Market’ in fulfillment of the requirements of MBA programme of Gujarat Technological University. This is her original work and has not been submitted elsewhere.

_______________

____________________

Dr. Hitesh Ruparel

Prof. Shweta Bambuwala

Director

Assistant Professor &

Date: _________________

Place: _________________

Declaration
I, Suruchi Agrawal (Enrolment no.117350592036) student of N R Institute of Business Management hereby declare that I have successfully completed this project on ‘‘Forecasting Techniques Of Exchange Rate in Foreign Exchange Market’ in the academic year 2012-

13.
I declare that this submitted work is done by me and to the best of my knowledge; no such work has been submitted by any other person for the award of degree or diploma. I also declare that all the information collected from various secondary and primary sources has been duly acknowledged in this project report.

Suruchi Agrawal
(Enrolment no.117350592036)

PREFACE
The ability to forecast the exchange rates in the Foreign Exchange market is critical to analysts. Among the large array of approaches available for forecasting techniques, econometric models are gaining in popularity. This study is using different forecasting techniques for determining exchange rates between rupee and dollar.

The purpose of this study is:
(i)

To learn, understand Foreign Exchange Market.

(ii)

To understand & construct different techniques for forecasting i.e. a. Time Series Model (Moving Average Model)
b. Purchasing Power Parity (PPP)
c. Interest Rate Parity
d. Econometric Model

(iii)

To implement and test model for forecasting of exchange rates using above mentioned techniques.

(iv)

Identify the limitations, accuracy and robustness of these techniques to predict the exchange rates of Foreign Exchange Market.

ACKNOWLEDGEMENT
The satisfaction and euphoria that accompany the successful completion of the work would be incomplete unless I mention the people, as an expression of gratitude, who made it possible and whose constant guidance and encouragement served as a beacon of light and crowned our efforts with success. The report would not have been possible without the support and guidance that I received from various people at different stages of the project.

Special thanks to Director Dr.Hitesh Ruparel whose inspirational words always helped me throughout academics.

This project could not have been completed without Prof. Shweta Bambuwala who not only served as my internal guide but also encouraged and challenged us throughout the academic program. She and the other faculty members patiently guided me throughout the project, never accepting less than our best efforts. I heartily thank them all.

I would also like to thank my college for its kind support in the project.

Suruchi Agrawal
(117350592036)
N.R.I.B.M.
GLS
Ahmedabad.

EXECUTIVE SUMMARY
The foreign exchange market (forex, FX or currency market) is a form of exchange for the global decentralized trading of international currencies. Financial centers around the world function as anchors of trading between a wide range of different types of buyers and sellers...
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