INTERVENTION ANALYSIS OF DAILY SOUTH AFRICAN RAND/NAIRA EXCHANGE RATES

October 21, 2020
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Category : International Journal of Management Studies, Business and Entrepreneurship Research, Volume 5, Number 2, 2020

Aboko,Igboye Simon

Department of Statistics

Captain Elechi Amadi Polytechnic, Port Harcourt

E-mail:abokoigboye@gmail.com

ABSTRACT

This research paper examined the daily exchange rate of the South African (ZAR) and the Nigerian Naira (NGN) which starts from 11^th March,2017 and 9^thSeptember,2017 reveals an abrupt change on 4^th August,2017 in further favour of the Rand. This change is significant as the pre-intervention series was stationary. The pre-invention series was modeled as ARMA(3,12) model using Augmented Dickey Fuller unit root test which was adjusted to fit the model to be stationary. An intervention model was obtained and the post-intervention data closely agreed with the forecast data.

Keywords:Rand,Naira, Exchange rates,Intervention analysis, ARIMA modeling.

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