TIME SERIES MODELING OF NIGERIAN STOCK EXCHANGE INDEX (NSEI) AND USD/NGN EXCHANGE RATES
Amala Isabella .S, Davis Iyal and E. H. Etuk
Department of Mathematics
Rivers State University, Port Harcourt, Nigeria
ABSTRACT
This study performed time series modeling of and Exchange rates. Monthly data spanning from January 2007 to December 2018 was used. Data was sourced from the Central Bank of Nigeria statistical bulletin. The models employed were model, model and Granger Causality test. Both series were stationary at first difference. The All Share Index of the Nigerian Stock Exchange suggests ARIMA a white noise process, and at such, model was adopted, while USD/NGN exchange rate suggested model, but residual were conditionally heteroskedastic, hence model was also adopted and estimated and they Granger Cause each other.
Keywords: Exchange rate, Stock Price, ARMA Model, GARCH (1, 1) Model, Granger Causality Test.
