International Journal of Mathematics and Statistics Studies (IJMSS)

EA Journals

Multiplicative Sarima Modelling of Daily Naira – Euro Exchange Rates

Abstract

The time plot of the series DNEER shows an upward secular trend from early December 2012 to early February 2013 followed by a downward trend till end of March 2013. No seasonality is observable. A seven-day differencing yields the series SDDNEER with an overall slightly negative trend. Seasonality is still not discernible. A further (non-seasonal) differencing yields the series DSDDNEER which has an overall horizontal trend. The correlogram of DSDDNEER shows a negative significant spike at lag 7 and comparable spikes at lags 6 and 8. This reveals seven-day seasonality as suspected. It also suggests the involvement of a seasonal moving average component of order one and the product of two moving average components: one seasonal and the other non-seasonal, both of order one. Hence a (0, 1, 1)x(0, 1, 1)7 SARIMA model is proposed. It is fitted and shown to be adequate for the data

Keywords: Daily Naira – Euro Exchange Rates, Nigeria, SARIMA models

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

 

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Email ID: editor.ijmss@ea-journals.org
Impact Factor: 7.80
Print ISSN: 2053-2229
Online ISSN: 2053-2210
DOI: https://doi.org/10.37745/ijmss.13

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