Modelling of Daily Nigerian Naira - British Pound Exchange Rates Using SARIMA Methods
Current Journal of Applied Science and Technology · pp. 222–234 · Published 1 Oct 2013
10.9734/BJAST/2014/5535Abstract
Aims: To fit a time series model to daily Naira-Pound exchange rate series. Study Design: Seasonal Autoregressive Integrated Moving Average Model. Place and Duration of Study: Department of Mathematics/Computer Science, Rivers State University of Science and Technology, Nigeria, from December 2012 to March 2013. Methodology: The correlogram of a non-seasonal difference of the 7-point difference of the data was plotted. On the basis of that plot, a seasonal autoregressive integrated moving average (0, 1, 1)x(0, 1, 1)7model was proposed and fitted. This model was compared with a suggestive ARIMA model with a view to establishing SARIMA supremacy. Results: Seasonality of order 7 is evident from the analysis of the differences of the seasonal differences of the original series. All three moving average parameters (i.e. for lags 1, 7 and 8) of the SARIMA model are highly significant, their P-values being 0.0005, 0.0000 and 0.0001 respectively. The model agrees very closely with the observed data. Up to 51% of variations in the data set are explained by the model. The residuals are observed not to be correlated with each other. On the other hand only 8% of the variability in the data set is accounted for by the ARIMA(1, 1, 1) model. Conclusion: The SARIMA model more adequately represents the data set.
References (8)
- 1 Time Series Analysis: Forecasting and Control [DOI]
- 2 Time Series Analysis [DOI]
- 3 Time Series Forecasting by using Seasonal Autoregressive Integrated Moving Average: Subset, Multiplicative or Additive Model [DOI]
- 4 A Seasonal Arima Model for Daily Nigerian Naira-Us Dollar Exchange Rates
- 5 SHORT COMMUNICATION An Autoregressive Integrated Moving Average (ARIMA) Simulation Model: A Case Study. [DOI]
- 6 The Fitting of a SARIMA model to Monthly Naira-Euro Exchange Rates
- 7 A Sarima Fit To Monthly Nigerian Naira- British Pound Exchange Rates
- 8 The Efficacy of SARIMA Models for Forecasting Inflation Rates in Developing Countries: The Case for Turkey
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