Daily Egyptian Pound / Nigerian Naira Exchange Rates Intervention Modelling
Igboye Simon Aboko & Ette Harrison Etuk
Department of Mathematics
Rivers State University, Port Harcourt
Email: ettetuk@yahoo.com
ABSTRACT
A look at the time plot of the exchange rates of the Egyptian pound EGP and the Nigerian Naira NGN across the year 2017 reveals an abrupt jump in the amount of the latter in one unit of the former on the 4th of August 2017 and thenceforth prompting an intervention modeling. This situation is due to the ongoing economic recession Nigeria has fallen into. With a realization starting from March 17, 2017 and ending September 8, 2017, the pre-intervention data are adjudged stationary by the Augmented Dickey Fuller test. Fitted to it is an ARMA (13, 12) on which basis post-intervention forecasts are obtained. Intervention modeling produces very close post-intervention forecasts to the real data.
Keywords: Egyptian pound, Nigerian Naira, Arima modeling, intervention modeling
