International Journal of Development and Economic Sustainability (IJDES)

EA Journals

Forecasting of Exchange Rate between Naira and US Dollar Using Time Domain Model

Abstract

Most time series analysts have used different technical and fundamental approach in modeling and to forecast exchange rate in both develop and developing countries, whereas the forecast result varies base on the approach used or applied. In these view, a time domain model (fundamental approach) makes the use of Box Jenkins approach was applied to a developing country like Nigeria to forecast the naira/dollar exchange rate for the period January 1994 to December 2011 using ARIMA model. The result reveals that there is an upward trend and the 2nd difference of the series was stationary, meaning that the series was I (2). Base on the selection criteria AIC and BIC, the best model that explains the series was found to be ARIMA (1, 2, 1). The diagnosis on such model was confirmed, the error was white noise, presence of no serial correlation and a forecast for period of 12 months terms was made which indicates that the naira will continue to depreciate with these forecasted time period.

Keywords: AIC, Auto Regressive Integrated Moving Average, Autocorrelation Function, BIC, Exchange Rate, Partial Autocorrelation Function

cc logo

This work by European American Journals is licensed under a Creative Commons Attribution-NonCommercial-NoDerivs 4.0 Unported License

 

Recent Publications

Email ID: editor.ijdes@ea-journals.org
Impact Factor: 7.72
Print ISSN: 2053-2199
Online ISSN: 2053-2202
DOI: https://doi.org/10.37745/ijdes.13

Author Guidelines
Submit Papers
Review Status

 

Scroll to Top

Don't miss any Call For Paper update from EA Journals

Fill up the form below and get notified everytime we call for new submissions for our journals.