USING ARIMA IN ROBOR EVOLUTION MODELLING

Abstract

Economic and social developments in the period January 2000 - December 2013 both internally and externally caused an evolution of ROBOR with significant increases or decreases. Their extent makes it difficult to build models that can be used in the study and forecast of ROBOR. This paper analyzes the possibilities of describing the evolution of ROBOR by autoregressive and moving average models. The analysis is based on three data sets: the first includes ​​ROBOR values the entire period; the second set includes data from January 2006 - December 2013 and the third series, data from February 2009 - December 2013. Starting from these, six models are presented, three for the first period, two for the second and one for third period.