A Transfer Function-Autoregressive Noise Model of Naira ExchangeRates for Us Dollar and Swiss Franc

Research & Reviews: Journal of Statistics and Mathematical Sciences

article

Iwok IA¹ 

[1] Department of Mathematics/Statistics, University of Port-Harcourt

关键词: Transfer function;    Pre-whitening;    Cross correlation;    Rational polynomial;    Noise model;    Stationarity.;   

来源: Research & Reviews

【 摘 要 】

This work aims at modelling the Naira exchange rates for US Dollars Xt and Swiss Franc Yt using a transfer function (TF) technique. Data for the two currencies were obtained from the Central Bank of Nigeria (for a period of 53 years). After obtaining stationarity of the two series using appropriate transformation, the input series xt was pre-whitened to remove the spurious correlation effect. The output series yt was also pre-whitened and the cross correlation between the pre-whitened input (αt) and output (βt) was examined. From the behavior of the cross correlation, rational polynomial representation of the dynamic transfer function was obtained. The estimated noise was found to be auto correlated. Thus, the noise was modelled separately using Box and Jenkins autoregressive (AR) method. This provided the missing component of the TF model which was used to fit the overall model. The resulted model underwent a diagnostic check and was found to be appropriate. Hence forecast was generated.

【 授权许可】

Unknown