Long Memory and Volatility Models in Forecasting Exchange Rate of Nigerian Naira to United State Dollar

Forecasting of Exchange Rate between Naira and Us Dollar Using Time Domain Model

Most time series analysts have used different technical and fundamental approach in modeling and to forecast exchange rate in both develop and developing countries, whereas the forecast result varies base on the approach used or applied. In these view, a time domain model (fundamental approach) makes the use of Box Jenkins approach was applied to a developing country like Nigeria to forecast th...

Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

Testing for Long-term Memory in Yen / Dollar Exchange Rate

ABSRTRACT This paper exmines evidence of long-term memory in the yen/dollar price change as well as in the daily estimate of volatility of the exchange rate series. The methodology used is due to Lo (1989) which is robust to the presence of heteroscedasticity and is applied to a ten year data set. The result shows no evidence of long-term memory in the price change series indicating efficient p...

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample properties via Monte Car...

Exchange Rate Volatility in Nigeria: Consistency, Persistency & Severity Analyses

The adoption of the International Monetary Fund (IMF) Structural Adjustment Programme (SAP) in 1986 resulted in the transition from fixed exchange rate regime to floating exchange rate regime in Nigeria. Ever since, the exchange rate of naira vis-à-vis the U.S dollar has attained varying rates all through different time horizons. On this basis, this study examines the consistency, persistency, ...