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  • 标题:A Sarima Fit To Monthly Nigerian Naira-British Pound Exchange Rates
  • 本地全文:下载
  • 作者:Ette Harrison Etuk ; Richard Chinedu Igbudu
  • 期刊名称:Journal of Computations & Modelling
  • 印刷版ISSN:1792-7625
  • 电子版ISSN:1792-8850
  • 出版年度:2013
  • 卷号:3
  • 期号:1
  • 出版社:Scienpress Ltd
  • 摘要:

    The time plot of the series NPER exhibits an overall downward trend with a deep depression in late 2008. No regular seasonality is evident. A 12-month differencing yields a series SDNPER which has an overall slightly upward trend with no clear seasonality. A nonseasonal differencing of SDNPER yields a series DSDNPER with an overall horizontal trend. The visual inspection of its time plot hardly gives an impression of any regular seasonality. However its autocorrelation function shows a significant negative spike at lag 12, indicating a 12-month seasonality and a seasonal moving average component of order one. Moreover the partial autocorrelation plot has significant spikes at lags 12 and 24, suggesting the involvement of a seasonal autoregressive component of order two. Consequently, a (0, 1, 0)x(2, 1, 1)12 SARIMA model is hereby proposed, fitted and shown to be adequate.

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