The Regime Examination of Nigeria Exchange Rate Volatility: Evidence from Markov Regime Switching Autoregressive Approach
نویسندگان
چکیده
Inarguably, the escalation in dollar rates and price instability Nigerian economy underwent significant structural institutional changes. In assessing importance of understanding exchange rates, it becomes imperative to build reliable models for predicting volatility home currency. Hence, this study aims model rate using Markov regime-switching model. The analyses returns two three distinct regimes by employing autoregressive (MS-AR) with data from 2nd January 2018 7th September 2020. Four MS-AR candidate were estimated series. Based on least AIC value, MS(3)-AR(2) was returned as most parsimonious among four models. analysis established a high probability that system remains liquidation awareness states. It implied only unconventional or severe events could switch series regime 2 (liquidation phase) 3 (awareness). While there is low will stay an imbalanced implies switching 1. Furthermore, average duration period days, six days five imbalance, regimes, respectively. Thus, findings, i.e. imbalance regimes’ identification their durations, show Naira foreign market not favourable investors trade. recommends government should direct more efforts towards improving performance make investors. Specifically, CBN develop new strategies tackling behaviour when state.
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ژورنال
عنوان ژورنال: African journal of accounting and financial research
سال: 2023
ISSN: ['2682-6690']
DOI: https://doi.org/10.52589/ajafr-7mhoeggm