A multiplicative autoregressive integrated moving average model for Kenya's inflation (2000:1 - 2013:12)

摘要

Using monthly inflation data from January 2000 to December 2013, we find that SARIMA (1,1,1)(1,0,1)12 can represent the data behavior of inflation rate in Kenya well. Based on the selected model, we forecast seven (12) months inflation rates of Kenya outside the sample period (i.e. from January 2014 to December 2014). The observed inflation rates from January to November which were published by Kenya Bureau of Statistics fall within the 95% confidence interval obtained from the designed model. However, the confidence intervals were wider an indication of high volatility of Kenya's inflation rates.