An Exploration of Nigerian Exchange Rate Using ARIMA Model
Awogbemi C.A. *
Statistics Programme, National Mathematical Centre, Abuja, Nigeria.
Alilu H.
Department of Statistics, Nasarawa State University, Keffi, Nigeria.
Ilori A. K.
Statistics Programme, National Mathematical Centre, Abuja, Nigeria.
Daniel J.
Department of Mathematics & Statistics, Redeemer’s University, Ede, Nigeria.
Huleji B.P.
Department of Statistics, Nasarawa State University, Keffi, Nigeria.
Omotayo-Tomo, M.S.
Department of Mathematical Sciences, Olusegun Agagu University of Science & Technology, Okitipupa, Nigeria.
Okafor B.I.
Department of Statistics, Federal University of Technology, Owerri, Nigeria.
Muhammed I.
Department of Statistics, Usmanu Danfodiyo University, Sokoto, Nigeria.
Paul V.B.
Department of Mathematics, Rivers State University, Port Harcourt, Nigeria.
Johnson A.S.
Department of Statistics, Nasarawa State University, Keffi, Nigeria.
Adejumo A.O.
Department of Statistics, University of Ilorin, Nigeria.
*Author to whom correspondence should be addressed.
Abstract
Exchange rate fluctuations have long been a central topic in Nigerian economic discussions, particularly due to the country's heavy reliance on imports and oil exports. As a developing nation, Nigeria is especially susceptible to external shocks. Thus, this study forecasts the exchange rate fluctuations between the US Dollar and the Nigerian Naira, utilizing monthly data from January 2009 to May 2024 and sourced from the Central Bank of Nigeria (CBN) website. The data were analyzed using the ARIMA process and KPSS methods for testing the stationarity of the series, with 185 data points. The ARIMA (4, 2, 2) model was selected based on the AIC and BIC values as the best-fitted model. The results indicated a rise in the exchange rate, from the value of 1509.352 Naira in June 2024 to between 2370.834 Naira by January, 2025 and 3755.827 Naira in January of 2026. Considering the decline in the forecast of Naira's value against the Dollar, it is recommended that policymakers should consider these components when designing monetary policies aimed at stabilizing the foreign exchange market and the overall economy.
Keywords: Exchange rate, autoregressive, moving average, crypto currency, unit roots