Daily Gambian Dalasi/Nigerian Naira Exchange Rates Intervention Analysis

Daily Gambian Dalasi/Nigerian Naira Exchange Rates Intervention Analysis

¹Ette Harrison Etuk, ²Richard Chinedu Igbudu, ³Benjamin Ele Chims & ⁴Imoh Udo Moffat

¹Department of Mathematics, Rivers State University, Port Harcourt

²Department of Computer Science, Ken Saro Wiwa Polytechnic, Bori, Rivers State,

³Department of Mathematics/Statistics, Ken Saro Wiwa Polytechnic, Bori, Rivers State,

⁴Department of Mathematics/Statistics, University of Uyo, Uyo, Nigeria      

ABSTRACT

A realization of the daily Gambian Dalasi (GMD) / Nigerian Naira (NGN) exchange rates from 30^th May 2017 to 25^th November 2017 is the subject of this research work. It has been noticed that there has been a sharp rise in the rate of the amount of naira in the dalasi on 4^th August 2017, and there has not been decline ever since necessitating treatment of this relationship as an intervention case. The pre-intervention series is adjudged as stationary by the Adjusted Dickey Fuller test. A white noise model is suitable for the series. The transfer function model is parabolic. This model may be useful for modeling the intervention relationship between the two currencies.

Keywords: Gambian Dalasi, Nigerian Naira, intervention model, Arima modeling