INTERVENTION ANALYSIS OF DAILY KENYAN SHILLING / NIGERIA NAIRA EXCHANGE RATES
ABOKO, IGBOYE SIMON
Department of Statistics
Captain ElechiAmadi Polytechnic, Rumuola, Port Harcourt
E-mail address: abokoigboye@gmail.com
ABSTRACT
The research work is about an intervention on daily exchange rates of the Kenyan (KEN) Shilling and its Nigeria counterpart Naira (NGN) observed on 17th August, 2017. The realization of this time series studies span from 19th March, 2017 to 11th September, 2017. There is an abrupt jump or change in 4th August, 2017 which prompted an intervention modelling. The pre-intervention series was adjusted stationary by the Augmented Dickey Fuller test. Fitted on it is a series Xt= 0.8633Xt-1 + 0.01367Xt-12 – 0.7480εt-1 + εt. And the estimated residual is the white noise process. On the basis of this model, the post intervention forecasts were obtained. The intervention produces closed relationship between the post intervention data and their forecast data.
Keywords: Kenyan shilling, Nigerian Naira, Exchange rates, Intervention modelling, ARIMA modelling.
