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Volatility of Some Selected Currencies Against the Naira Using Generalized Autoregressive Score Models
Oluwagbenga Tobi Babatunde,
Henrietta Ebele Oranye,
Cynthia Ndidiamaka Nwafor
Issue:
Volume 6, Issue 3, September 2020
Pages:
42-46
Received:
20 July 2020
Accepted:
30 July 2020
Published:
27 August 2020
Abstract: The role exchange rate plays in international trade and bilateral agreement between countries cannot be over-emphasize. Fluctuations in exchange rate has direct impact on the economy of any country especially a country like Nigeria which depends largely on import goods. So, there is need to identify appropriate model that can adequately describe the dynamics of the exchange rate volatilities. This article investigated the volatility of exchange rates in Nigeria by selecting the U.S dollars, Pound Sterling and Euro against the Naira using daily data over the period of January 02, 2002 to August 31, 2018. The GAS model with its variants was applied to study the volatility of the exchange rates assuming three different probability distributions for the innovations of the models namely; Normal distribution (N), Student-t distribution (T) and Skewed-Student-t distribution (SKT). The AIC and SBIC estimates obtained were used to access fitness performance. The GAS model and its variants’ forecasting ability were access using several forecast measures. Using the estimates of the AIC and SBIC, GAS-T, EGAS-T and EGAS-STK were selected for US dollars/Naira, Pound sterling/Naira and Euro/Naira exchange rates respectively as the best fitted models. Based on the estimates of MAE and RMSE, GAS-T, EGAS-T and EGAS-SKT were selected for forecasting the volatility of US dollars/Naira, Pound sterling/Naira and Euro/Naira exchange rates respectively.
Abstract: The role exchange rate plays in international trade and bilateral agreement between countries cannot be over-emphasize. Fluctuations in exchange rate has direct impact on the economy of any country especially a country like Nigeria which depends largely on import goods. So, there is need to identify appropriate model that can adequately describe th...
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Investigating the Effect of Nigeria’s Macroeconomic Variables on Economic Growth in the Presence of Heteroskedasticity and Structural Breaks
Jonathan Atsua Ikughur,
Patience Onuche Agada,
Alhaji Godwin
Issue:
Volume 6, Issue 3, September 2020
Pages:
47-56
Received:
14 April 2019
Accepted:
27 May 2020
Published:
10 September 2020
Abstract: This study modeled the effect of Revenue, Expenditure, Foreign Direct Investment and Exchange rate on Nigerian Gross Domestic Product (obtained from CBN from 1961-2010) in the presence of heteroskedasticity on Nigeria’s macroeconomic variables using the Weighted Least Squares method. Furthermore, it investigated the changing structures in the data using Bai and Perron structural breaks approach. Results showed the existence of heteroskedasticity and the model with correction for heteroskedasticity shows that Revenue, Expenditure, Foreign Direct Investment provides a positive and significant effect on GDP while the Exchange rate negatively affect the GDP while the model with heteroskedasticity showed that Revenue, Expenditure, Foreign Direct Investment significantly affect GDP positively while Exchange rate has negative effect on the GDP. The model with correction for heteroskedasticity is by far more efficient than the model with heteroskedasticity as evidenced by the information as well as other adequacy criteria. Finally, the Bai-Perron Multiple Breakpoint Test identified five (5) breaks within this periods namely; 1973, 1980, 1987, 1994 and 2001 and this persistent break is not healthy for economic growth of Nigeria.
Abstract: This study modeled the effect of Revenue, Expenditure, Foreign Direct Investment and Exchange rate on Nigerian Gross Domestic Product (obtained from CBN from 1961-2010) in the presence of heteroskedasticity on Nigeria’s macroeconomic variables using the Weighted Least Squares method. Furthermore, it investigated the changing structures in the data ...
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Fitting Wind Speed to a Two Parameter Distribution Model Using Maximum Likelihood Estimation Method
Okumu Otieno Kevin,
Edgar Otumba,
Alilah Anekeya David,
John Matuya
Issue:
Volume 6, Issue 3, September 2020
Pages:
57-64
Received:
13 September 2020
Accepted:
27 September 2020
Published:
13 October 2020
Abstract: Kenya is among the countries that are continuously investing in wind energy to meet her electricity demand. Kenya is working towards its vision 2030 of achieving a total of 2GW of energy from wind industry. To achieve this, there is a need that all the relevant data on wind characteristics must be available. The purpose of this study is, therefore, to find the most efficient two-parameter model for fitting wind speed distribution for Narok County in Kenya, using the maximum likelihood method. Hourly wind speed data collected for a period of three years (2016 to 2018) from five sites within Narok County was used. Each of the distribution’s parameters was estimated and then a suitability test of the parameters was conducted using the goodness of fit test statistics, Kolmogorov-Smirnov, and Anderson-Darling. An efficiency test was determined using the Akaike’s Information Criterion (AIC) and the Bayesian Information Criterion (BIC) values, with the best decision taken based on the distribution having a smaller value of AIC and BIC. The results showed that the best distributions were the gamma distribution with the shape parameter of 2.47634 and scale parameter of 1.25991, implying that gamma distribution was the best distribution for modeling Narok County wind speed data.
Abstract: Kenya is among the countries that are continuously investing in wind energy to meet her electricity demand. Kenya is working towards its vision 2030 of achieving a total of 2GW of energy from wind industry. To achieve this, there is a need that all the relevant data on wind characteristics must be available. The purpose of this study is, therefore,...
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