On the use of ARIMA and GARCH in Modelling Nigeria's Naira: Us Dollar Monthly Exchange Rates This paper aimed at modelling the volatility of monthly average official exchange rate (Naira/USD) using the Autoregressive Integrated Moving Average (ARIM... Ahmad, Nafisatu Tanko,G. K. Musa,M. A...
That is, an ARIMA(11,1,11) model is fitted to the pre-intervention exchange rates. Forecasts are obtained for the post-intervention period on the basis of this model. The differences between these forecasts and the corresponding post-intervention observations are modelled to obtain the ...