TIME SERIES ANALYSIS OF CHINESE YUAN TO NIGERIA NAIRA EXCHANGE RATES
Fedpuka Journal of Science, Technology & Contemporary Studies, Vol.. 1 No. 3
DOI:
https://doi.org/10.60787/apjocasr.v1no3.41Keywords:
ARIMA, Exchange Rate, Forecasting, StationaryAbstract
This paper presents a detailed empirical study focusing on modelling and forecasting time series data of the daily exchange rates between the Chinese Yuan and the Nigerian Naira. The study uses data from two reliable websites, https:// www. exchangerates. org. uk/ CNY- NGexchange-rate-history.html, covering a period ranging from Sunday, 20 February 2022, to Thursday, 4 August 2022. The study's primary objective is to determine the most appropriate model for accurately predicting the daily exchange rates between the two currencies. The study utilizes the Box-Jenkins time series analysis method to predict the exchange rates of the Chinese Yuan to the Nigeria Naira. The results show that the ARIMA (2,1,1) model is the most suitable for this purpose. The model successfully identifies the underlying trends and patterns in the data and provides dependable forecasts for the exchange rates. Overall, this method proves to be practical in analyzing time series data. The study also examines the accuracy of the forecasts generated by the ARIMA (2,1,1) model. The fourteen-day forecasts produced by the model are compared with the actual exchange rates, and the results show that the forecast compares favourably with the original exchange rates. This finding suggests that the ARIMA (2,1,1) model is reliable for predicting the daily exchange rates between the Chinese Yuan and Nigerian Naira.
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