Modelling Naira/Pounds Exchange Rate Volatility: Application of Arima and Garch Models

Umar, Saminu; Abubakar, Shehu Sidi; Salihu, Abdulrashid M; Umar, Zayyanu

doi:10.33564/ijeast.2019.v04i08.042

“…It was concluded by the authors that ARIMA is highly effective for the forecasting exchange rate of EURO/US Dollar if compared to the SSA model. Umar et al (2019) also proved the importance of ARIMA approach in their study. They concluded that ARIMA (2, 1, 1) is the highly efficient model in case of the forecasting exchange rate of Naira against UK pound.…”

Section: Methodsmentioning

confidence: 65%

Forecast Foreign Exchange Rate: The Case Study of PKR/USD

AsadUllah

¹

,

Ahmad

²

,

Santos

³

2020

MJSS

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The main aim of this paper is to forecast the future values of the exchange rate of the USD. Dollar (USD) and Pakistani Rupee (PR). For this purpose was used the ARIMA model to forecast the future exchange rates, because the time series was stationary at first difference. Data reported to five years ranging from the first day of April 2014 to 31st March 2019. The results proved that ARIMA (1,1,9) is the most suitable model to forecast the exchange rate. The difference between the forecasted values and actual values are less than 1%; therefore, it was found that the ARIMA is robust and this model will be helpful for the government functionaries, monetary policymakers, economists and other stakeholders to identify and forecast the future trend of the exchange rate and make their policies accordingly.

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“…Their findings reveal that TGARCH is the best fitting model for Euro, while ARCH and PARCH (1,1) are the best fitting models for BPS return and Naira/USD returns and IGARCH was suitable for the USD return model with volatility breaks". Umar et al [6] applied "ARIMA and GARCH models in modelling Naira/Pounds exchange rate volatility and found that ARIMA (2, 1, 1) and GARCH (1,1) are the optimal with the highest log-likelihood and lowest AIC and BIC". Similarly, Odukoya and Adio [7] carried out "study with title: Time Series Analysis of Exchange Rate Nigerian Naira to Us Dollar.…”

Section: Introductionmentioning

confidence: 99%

On the use of ARIMA and GARCH in Modelling Nigeria’s Naira: Us Dollar Monthly Exchange Rates

Ahmad

¹

,

Musa

²

,

Musa

³

et al. 2023

AJPAS

0

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This paper aimed at modelling the volatility of monthly average official exchange rate (Naira/USD) using the Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) for the period January, 1981 to December, 2021. The data for the study was obtained from Central Bank of Nigeria 2021 Statistical Bulletin. The time plot, Augmented Dickey Fuller (ADF) and Phillip’s Perron (PP) were used to check for the Stationarity of the Series. It was discovered that the series is not stationary, thus the need for differencing to make it stationary. Based on the findings of the study, it was concluded that the ARIMA (0, 2,2) and GARCH (1,1) with Student’s t-distribution are the optimal models for modeling monthly average official exchange rates return (Naira/USD) in Nigeria.

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“…Their findings reveal that TGARCH is the best fitting model for Euro, while ARCH and PARCH (1,1) are the best fitting models for BPS return and Naira/USD returns and IGARCH was suitable for the USD return model with volatility breaks. Umar et al (2019) applied ARIMA and GARCH models in modelling Naira/Pounds exchange rate volatility and found that ARIMA (2, 1, 1) and GARCH (1,1) are the optimal with the highest log-likelihood and lowest AIC and BIC. Similarly, Odukoya and Adio (2022) carried out study with title: Time Series Analysis of Exchange Rate Nigerian Naira to Us Dollar.…”

Section: Introductionmentioning

confidence: 99%

On the use of arima and garch in modelling nigeria’s naira – us dollar monthly exchange rates

Nafisat Tanko,

G K,

Salisu Auta

2023

Glo Jnl Pure Appl Sci

0

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This paper aimed at modelling the volatility of monthly average official exchange rate (Naira/USD) using the Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) for the period January, 1981 to December, 2021. The data for the study was obtained from Central Bank of Nigeria 2021 Statistical Bulletin. The time plot, Augmented Dickey Fuller (ADF) and Phillip’s Perron (PP) were used to check for the Stationarity of the Series. It was discovered that the series is not stationary, thus the need for differencing to make it stationary. Based on the findings of the study, it was concluded that the ARIMA (0, 2,2) and GARCH (1,1) with Student’s t-distribution are the optimal models for modeling monthly average official exchange rates return (Naira/USD) in Nigeria.

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Modelling Naira/Pounds Exchange Rate Volatility: Application of Arima and Garch Models

Cited by 4 publications

References 5 publications

Forecast Foreign Exchange Rate: The Case Study of PKR/USD

Forecast Foreign Exchange Rate: The Case Study of PKR/USD

On the use of ARIMA and GARCH in Modelling Nigeria’s Naira: Us Dollar Monthly Exchange Rates

On the use of arima and garch in modelling nigeria’s naira – us dollar monthly exchange rates

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