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2021 | 151 | 45-63
Article title

Best Time Series In-sample Model for Forecasting Nigeria Exchange Rate

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EN
Abstracts
EN
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.
Year
Volume
151
Pages
45-63
Physical description
Contributors
  • Department of Mathematics, School of Science, Aminu Saleh College of Education Azare, Bauchi State, Nigeria
  • Department of Mathematical Sciences, Abubakar Tafawa Balewa University, Bauchi, Nigeria
  • Department of Mathematical Sciences, Abubakar Tafawa Balewa University, Bauchi, Nigeria
  • Department of Mathematical Sciences Bauchi State University Gadau, Nigeria
  • Department of Mathematics, School of Science, Aminu Saleh College of Education Azare, Bauchi State, Nigeria
  • Department of Basic Science, Mohammed Lawan College of Agriculture, Maiduguri Borno State, Nigeria
References
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Document Type
article
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.psjd-bcf1d6c0-7074-41a5-be0a-14c9a18d95d6
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