TIME SERIES MODELING OF NIGERIAN STOCK EXCHANGE INDEX (NSEI) AND USD/NGN EXCHANGE RATES

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TIME SERIES MODELING OF NIGERIAN STOCK EXCHANGE INDEX (NSEI) AND USD/NGN EXCHANGE RATES

Amala Isabella S; Davies Iyai& 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.