Open Access Open Access  Restricted Access Subscription or Fee Access

Time Series Forecasting of Naira against Major Currencies Exchange Rates

Adeleke Ismaila, Hamadu Dallah

Abstract


The foreign exchange market is the largest and probably the most liquid financial market segment worldwide. Against this background, understanding and forecasting exchange rates behaviour is important to monetary policy and international trade. As a result, the appropriate prediction of exchange rate plays a very important role in financial risk management and economic activities of all sorts and crucial for the success of many businesses and financial managers. This paper investigates and develops the best Time Series models for Naira/USD, Naira/CFA, Naira/ WAUA, Naira/RIYAL, Naira/GBP, Naira/EUR, and Naira/Yen exchange rates forecasting. The Box and Jenkins’ Auto-Regressive Integrated Moving Average (ARIMA) models give a good description of the fluctuation of Naira against seven major regional and global currencies. These models were evaluated on six performance metrics.

Keywords


Foreign Exchange Rates, ARIMA Modeling, Naira, Time Series, Forecasting, Performance Metrics

Full Text:

PDF


Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information. Also: DOI is paid service which provided by a third party. We never mentioned that we go for this for our any journal. However, journal have no objection if author go directly for this paid DOI service.