Statistical Intervention Analysis of Daily Quantities of Naira per Euro due to Nigerian Economic Recession
- Country : Nigeria
- Subject : Mathematics
Keywords : Euro, Naira, exchange rates, sarima modeling, intervention analysis
Abstract
One hundred and eighty three daily amounts of Naira (NGN) per Euro (EUR) from 20th April 2016 to 19th October 2016 are such that on 22nd June 2016 there was a sudden jump from 230 to 320. The level has not decreased thereafter but has kept on increasing. The Nigerian economic recession which was announced around that time is believed to be the event responsible for this perturbation. The point of intervention is 22nd June 2016. Pre-intervention exchange rates are certified as non-stationary and first order differencing renders them stationary. The autocorrelation structure of the differences indicates a SARIMA (0, 1, 0) x (1, 0, 1)7 model. However the SARIMA (0, 1, 0) x (0, 0, 1)7 model is a better model on AIC grounds and is therefore adopted. Post-intervention forecasts are obtained on the basis of this model. The difference between these forecasts and their corresponding actual observations is modeled to obtain the intervention model. This model is found to be adequate. It may therefore be used by the Nigerian Government for intervention measures.
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