- Tytuł:
- Best Time Series In-sample Model for Forecasting Nigeria Exchange Rate
- Autorzy:
-
Gaddafi, Adamu Babali
Akpensuen, Shiaondo Henry
Shitu, Abdulrazaq Ahmed
Malle, Ahmad Atiku
Adamu, Muhammed
Bukar, Muhammad Goni - Powiązania:
- https://bibliotekanauki.pl/articles/1031300.pdf
- Data publikacji:
- 2021
- Wydawca:
- Przedsiębiorstwo Wydawnictw Naukowych Darwin / Scientific Publishing House DARWIN
- Tematy:
-
ARIMA
Autoregressive Integrated Moving Average Model
Autoregressive Moving Average Model
Autoregressive models
Box-Jenkins Methodology
CBN
Exchange rate
Model
Moving Average Models
Nigeria - Opis:
- In this work we considered data on official Nigeria exchange rates (Naira to British Pound sterling) from January 2003 to December 2019. Four competing models ARIMA (1, 1, 1), ARIMA (2, 1, 1), ARIMA (1, 1, 0) and ARIMA (1, 1, 2) were identified for the exchange rates series. Diagnostic analysis revealed that all the competing models adequately represent the exchange rate series. However, on the basis of out-of-sample model selection and evaluation ARIMA (1, 1, 1) was selected as the optimal model with minimum information criteria for the exchange rate series. A 24 months forecast indicates that the Naira will continue to depreciate. The policy implication of our study is that the Central Bank of Nigeria (CBN), should devalue the Naira in order to not only re-establish exchange rate stability but also encourage local manufacturing and encourage foreign capital inflows.
- Źródło:
-
World Scientific News; 2021, 151; 45-63
2392-2192 - Pojawia się w:
- World Scientific News
- Dostawca treści:
- Biblioteka Nauki
Artykuł