Autoregressive Fractional Integrated Moving Average (ARFIMA(p,d,q)) Modelling of Nigeria Exchange Rate

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Published: 2022-01-25

Page: 28-35


Leneenadogo Wiri

Rivers State Ministry of Education, Port Harcourt, Nigeria.

Godwin Lebari Tuaneh *

Department of Agricultural and Applied Economics, Rivers State University, P.M.B. 5080, Npkolu, Port Harcourt, Nigeria.

*Author to whom correspondence should be addressed.


Abstract

This study modeled the Nigerian exchange rate using the Autoregressive Fractionally Integrated Moving Average (ARFIMA) Model. The unit root test was performed using the Augmented Dickey Fuller (ADF) test at level and fractional difference. The fractional difference series was stationarity at (0.0868). The long memory parameter d of the ARFIMA model was estimated using the Geweke and Porter-Hudak (GPH) method. The presence of a long memory structure was revealed by the sample autocorrelation function. Four models were estimated, the best model chosen based on minimum information criteria (AIC values) was the ARFIMA (1, 0.0868, 1) models based on.

Keywords: Exchange rate, ARFIMA model, long-memory process, autocorrelation function, Nigeria


How to Cite

Wiri, L., & Tuaneh, G. L. (2022). Autoregressive Fractional Integrated Moving Average (ARFIMA(p,d,q)) Modelling of Nigeria Exchange Rate. Asian Journal of Pure and Applied Mathematics, 4(1), 28–35. Retrieved from https://globalpresshub.com/index.php/AJPAM/article/view/1422

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