Implementation of multiple functions intervention model to evaluate the impact of the crisis and gambling prohibition policy on tourism in Batam

A look at the time-plot of daily exchange rates of West African Franc (XOF) and the Nigerian Naira (NGN) from 19 th May 2016 to 13 th November 2016 reveals a sharp rise in the amount of Naira from 0.35 to 0.49 per XOF from 21 st to 22 nd June 2016. From that point onward the naira keeps reducing relatively. This is an intervention case. This means that the point of intervention is 22 nd June 2016. It is believed that this intervention is the current Nigerian economic recession which is bedevilling the country. This paper is aimed at proposing an intervention model to explain this phenomenon. The method to adopt is the autoregressive integrated moving average (ARIMA) method. The pre-intervention exchange rates are non-stationary. Differencing it once makes it stationary. Its partial autocorrelation and autocorrelation structures suggest a random noise fit. The difference between post-intervention forecasts and observations is modelled for the intervention transfer function. This is observed to be statistically significant and the forecasts based on it are very closely in agreement with the corresponding observations. Keywords— XOF, NGN, exchange rates, Intervention analysis, ARIMA modelling

https://ijarcsse.com/docs/papers/Volume_7/5_May2017/V7I5-01503.pdf

Arima Intervention Modelling of Daily West African Franc (XOF) – Nigerian Naira (NGN) Exchange Rates

The daily exchange rates of the Nigerian Naira (NGN) and West African CFA franc (XOF) from Thursday, 14 th March, 2013 to Saturday, 23 rd November 2013 are being modeled by Seasonal Autoregressive Integrated Moving Average (SARIMA) methods. This realization of the time series, referred to as NXOF, is a generally decreasing one, reflecting the relative depreciation of the Naira within the period of interest. As expected the Augmented Dickey Fuller (ADF) Tests adjudge it to be non-stationary. There is indication that NXOF is seasonal of period 7 days, there being a tendency for weekly maximums around Mondays and minimums around Sundays. A seasonal (i.e. 7-day) differencing produces a series SDNXOF with an overall horizontal trend. A non-seasonal differencing of SDNXOF yields a series DSDNXOF with an overall horizontal trend. Both SDNXOF and DSDNXOF are adjudged stationary by the ADF test. By the autocorrelation functions of SDNXOF and DSDNXOF two SARIMA models are suggestive: the (1, 0, 5)x(0, 1, 0) 7 and the (0, 1, 1)x(0, 1, 1) 7 . Residual analysis of the models reveals that the latter is the more adequate model.

Love Cherukei Nnoka

Papers

A Model for Daily Exchange Rates of the Naira and the XOF by Seasonal ARIMA Methods

Arima Intervention Modelling of Daily West African Franc (XOF) – Nigerian Naira (NGN) Exchange Rates