Time Series Analysis of Exchange Rate Nigerian Naira to Us Dollar (1981-2016)


Authors : O.U. ODUKOYA; M.A AdIO

Volume/Issue : Volume 7 - 2022, Issue 3 - March

Google Scholar : https://bit.ly/3IIfn9N

Scribd : https://bit.ly/3re4CpN

DOI : https://doi.org/10.5281/zenodo.6448204

This paper includes an empirical examination of modelling and forecasting time series data of the official Nigerian Naira to US Dollar exchange rate. Monthly data from January 1981 to December 2016 were forecasted using the Box-Jenkins ARIMA approach. The study's goals are to quantify the trend, fit a suitable model, and forecast future exchange rates. The Exploratory Data Analysis such as the time plot, Histogram and box plot were plotted. The trend was also estimated using least square and moving average methods. The seasonal variation and seasonal index were estimated using least square method. The data is then differenced once, plotted and the plot indicated that the process is stationary after the first difference

Keywords : Time Series, ARIMA, Forecasting, Box-Jenkins, AIC, ACF, PACF, ADF, Time plot, Histogram, box plot, Stationary, Naira, US Dollar.

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