Multiplicative Sarima Modelling of Daily Naira – Euro Exchange Rates (Published)
The time plot of the series DNEER shows an upward secular trend from early December 2012 to early February 2013 followed by a downward trend till end of March 2013. No seasonality is observable. A seven-day differencing yields the series SDDNEER with an overall slightly negative trend. Seasonality is still not discernible. A further (non-seasonal) differencing yields the series DSDDNEER which has an overall horizontal trend. The correlogram of DSDDNEER shows a negative significant spike at lag 7 and comparable spikes at lags 6 and 8. This reveals seven-day seasonality as suspected. It also suggests the involvement of a seasonal moving average component of order one and the product of two moving average components: one seasonal and the other non-seasonal, both of order one. Hence a (0, 1, 1)x(0, 1, 1)7 SARIMA model is proposed. It is fitted and shown to be adequate for the data
Keywords: Daily Naira – Euro Exchange Rates, Nigeria, SARIMA models