beckortikov/time-series-forecasting-python

This is the time series analysis of Tajikistan local currency somoni (TJS). Here I used several famous predictions models such as Holt-Winters, ARIMA, SARIMAX and etc. Also tried to compare each other.

Prediction Tajikistan local currency

This is the time series analysis of Tajikistan local currency somoni (TJS). Here I used several famous predictions models such as Holt-Winters, ARIMA, SARIMAX and etc. Then I compare each model.

📂 Dataset

The dataset used is the National Bank of Tajikistan rate of USD/TJS dataset. This dataset contains rate of currencies data from 2001 to 2022 sampled everyday. I decided to resample the dataset with monthly frequency for both easier data handling and proximity to a real use case scenario (because NBT raises rate monthly, quaterly, semi-annually). In this case the series is not stationary with some small seasonalities(seasonal) which change every year(quaterly).

📐 Models tested

• Holt-Winters ExponentialSmoothing (HWE)
• Seasonal autoregressive integrated moving average (SARIMA)

🔍 Forecasting results

There are several popular models left, like LSTM, XGBoost, Prophet, Lasso and etc. that I should implement.

Evaluation Metrics

• Root Mean Squared Error (RMSE)
• Mean Absolute Percentage Error (MAPE)

Model	rmse	mape
SARIMA	0.48	0.04
Holt-Winters	0.41	0.03