Box-Tiao Interrupted Time Series Analysis of Bureau de Change USD/NGN Exchange Rates

Ette Harrison Etuk, Tamunonimim Ngerebo-a, Cheta Kingsley Uzah

Abstract


This work concerns itself with the interrupted time series or intervention modelling of monthly Bureau de Change (BDC) US Dollar-Nigerian Naira exchange rates. The realization of the time series covers the period from January 2004 to February 2017. This work is necessitated by an observation of an abrupt astronomical rise in the amount of Naira per Dollar as from February 2015 which is therefore taken as an intervention point. Pre-intervention data are adjudged non-stationary. Their first differences are stationary and fitted to them is an adequate autoregressive model of order 6, on which basis post-intervention forecasts are obtained. The difference between these forecasts and their corresponding actual observations are modelled for the intervention transfer function. The parameters of this function are statistically significant signifying model adequacy. Nigerian intervention in this situation may be done on the basis of this model.

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References


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DOI: https://doi.org/10.23956/ijarcsse/V7I6/01606

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