Comparative Performance of Garch and Sarima Techniques in the Modeling of Nigerian Broad Money
Shakarho Udi Pepple & Etuk Ette Harrison
Department of Mathematics
Rivers State University Port Harcourt, Nigeria
Email: etuk.ette@ust.edu.ng
Corresponding Author: Ette Harrison Etuk
ABSTRACT
Money is a driving tool in any economy of a nation. As such the analysis and forecasting of Broad Money is of utmost importance to policy makers of any economy. The analysis shows the comparison of the performance of Nigerian Broad Money for GARCH and SARIMA models. In financial time series, the non-constant volatility is always high and GARCH model is better compared to the SARIMA model. The data used was collected from Central Bank of Nigeria website www.cenbank.org for 16 years (2000 – 2015). The time series were modeled using both methodologies and the analysis of the result shows that GARCH model outperform SARIMA models based on the minimum AIC. In the confines of this experiment SARIMA AIC was higher than that of GARCH, which showed that GARCH model is better than ARIMA model.
