Title of article
Intervention Analysis of Daily Yen/Naira Exchange Rates
Author/Authors
Etuk، Ette Harrison نويسنده Rivers State University of Science and Technology, Port Harcourt, Nigeria , , Dimkpa، Yellow Mazi نويسنده Department of Statistics, , , Sibeate، Pius نويسنده Rivers State Ministry of Education Port Harcourt NIGERIA , , Godwin، Nwafor نويسنده Department of Mathematics ,
Issue Information
دوماهنامه با شماره پیاپی سال 2017
Pages
9
From page
41
To page
49
Abstract
An examination of the daily exchange rates of the Japanese Yen and the Nigerian Naira
between May 1, 2016 and October 28, 2016 reveals an abrupt change on June 20, 2016 in
further favour of the Yen. This change is significant as the pre-intervention series has a mean
of 1.845 with a standard deviation of 0.0335 and the post-intervention mean of 2.9941 and
standard deviation of 0.1965. A situation like this calls for an intervention on the part of the
Nigerian Government. The pre-intervention data is modelled as an ARIMA(13,1,0) model.
Post-intervention forecasts on the basis of the afore-mentioned model are obtained. The
difference between these forecasts and the corresponding observations is modelled for the
intervention model. The model parameters are observed significant indicating the
significance of the model. Intervention may be carried out on the basis of the fitted model.
Journal title
Management and Administrative Sciences Review
Serial Year
2017
Journal title
Management and Administrative Sciences Review
Record number
2400217
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