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Volume 7, Issue 5, September 2018, Page: 173-179
A Univariate Time Series Autoregressive Integrated Moving Average Model for the Exchange Rate Between Nigerian Naira and US Dollar
Nasiru Mukaila Olakorede, Department of Statistics, University of Abuja, Abuja, Nigeria
Samuel Olayemi Olanrewaju, Department of Statistics, University of Abuja, Abuja, Nigeria
Maji Yusufu Ugbede, Department of Statistics, University of Abuja, Abuja, Nigeria
Received: Mar. 9, 2018;       Accepted: Mar. 30, 2018;       Published: Aug. 6, 2018
DOI: 10.11648/j.ajtas.20180705.12      View  1344      Downloads  150
Abstract
This research fit a univariate time series ARIMA model to the Monthly data of exchange rate between Nigerian Naira and US Dollar from January 1980 to December 2015. The Box-Jenkins Autoregressive Integrated Moving Average (ARIMA) model was estimated and the best fitted ARIMA model is used to obtain the post-sample forecasts for three years (January 2016 to December 2018). The data was analyzed with the aid of R statistical package and the best model was selected using Auto. ARIMA. The fitted model is ARIMA (0,1,1) with Akaike Information Criteria (AIC) of 2313.19, Normalized Bayesian Information Criteria (BIC) of 2325.39. This model was further validated by Ljung-Box test with no significant Autocorrelation between the residuals at different lag times and subsequently by white noise of residuals from the diagnostic check performed which clearly portray randomness of the standard error of the residuals, no significant spike in the residual plots of ACF and PACF. The forecasts value indicates clearly that Naira will continue to depreciate against the US Dollar between the periodsunderstudy.
Keywords
Arima, Time Series, Box- Jenkins, Ljung-Box, Stationarity, Unit Root, Naira, US Dollar
To cite this article
Nasiru Mukaila Olakorede, Samuel Olayemi Olanrewaju, Maji Yusufu Ugbede, A Univariate Time Series Autoregressive Integrated Moving Average Model for the Exchange Rate Between Nigerian Naira and US Dollar, American Journal of Theoretical and Applied Statistics. Vol. 7, No. 5, 2018, pp. 173-179. doi: 10.11648/j.ajtas.20180705.12
Copyright
Copyright © 2018 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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