Modeling the exchange rate data of Nigerian Naira against three international currencies

Abstract

In this paper, the exchange rate data of the Nigerian currency (the Naira) against three international currencies, the US dollar, the British pound sterling and the Euro was studied. We applied the Box-Cox transformation to the first difference of these set of data and tested for stationarity and non-linearity. It was found that the Box-Cox transformation induced stationarity in all cases but suggested non-linear model that was not uniform across the range of the Box-Cox transformation parameter for one set of data.

Keywords: Nigerian Naira, international currencies, Box-Cox transformation, stationarity

International Journal of Natural and Applied Sciences, 6(4): 463 - 470, 2010