Intervention Analysis of Daily Moroccan Dirham/Nigerian Naira Exchange Rates

Intervention Analysis of Daily Moroccan Dirham/Nigerian Naira Exchange Rates

Ette Harrison Etuk & Vincent Nchedo Chukwukelo

Department of Mathematics

Rivers State University, Port Harcourt, Nigeria

ABSTRACT:

Daily Moroccan Dirham (MAD)/Nigerian Naira (NGN) exchange rates, from 12^th March 2017 to 4^th September 2017, show an abrupt jump on 4^th August, 2017. This work is an attempt to model the series using an ARIMA intervention model.  The pre-intervention rates are adjudged non-stationary by the Augmented Dickey Fuller test necessitating differencing. The first differences are adjudged stationary.  An MA(1) model is fitted to them. Forecasts on the basis of this model for the post-intervention period are obtained and their differences from their actual observation counterparts are modeled to produce the transfer function. The intervention forecasts agree closely with the actual post-intervention forecast which is indicative of model adequacy. Hence the intervention model may be used in the management of the rates.

Keywords: Moroccan Dirham (MAD), Nigerian Naira (NGN), exchange rates, ARIMA intervention model