Autoregressive Integrated Moving Average (ARIMA) Model for Exchange Rate (Naira to Dollar)

Abstract

Analysis of exchange rate using ARIMA model, was carried out to help those in charge of the economy who are carried out to help those in charge of the economy who are interested in the strange and irregular trend in the Nigerian exchange rate system, to identify the exchange rate model, estimate the model parameters and predict or forecast the future. In an effort to better understand how exchange rate can be modeled, this work applied ARIMA model to exchange rate (Naira to Dollar) within the periods 1982-2011, through Box-Jenkins methodology an AR(1): order one was generated model is preferred as it was proved through the diagnostic rate of Naira-Dollars based on its potentials for better prediction and computational requirements.

DOI: 10.5901/ajis.2014.v3n4p429