INTERRUPTED TIME SERIES MODELLING OF DAILY MALAYSIAN RINGITT MYR / LIBERIAN DOLLAR LRD EXCHANGE RATES
Ette Harrison Etuk& Daniel Sokari George
1Department of Mathematics, Rivers State University, Port Harcourt, Nigeria
2Department of Mathematics / Statistics, Ignatius Ajuru University of Education, Port Harcourt, Nigeria
ABSTRACT
This work is about proposing an intervention model for the exchange rates of Malaysian Ringitt MYR and the Liberian Dollar LRD. The intervention point was observed to be November 8, 2019. A pre-intervention ARIMA model of order (0, 1, 7), was fitted and forecasts were obtained for the post-intervention data on the basis of it. The difference between the forecast and the original post-intervention data was modeled for the transfer function. The resultant model was observed to adequately represent the data.
Keywords: MYR, LRD, Arima modeling, Intervention modelling
