Volume 6, Issue 3, September 2020, Page: 42-46
Volatility of Some Selected Currencies Against the Naira Using Generalized Autoregressive Score Models
Oluwagbenga Tobi Babatunde, Department of Statistics, Faculty of Physical Sciences, University of Nigeria, Nsukka, Nigeria
Henrietta Ebele Oranye, Department of Statistics, Faculty of Physical Sciences, University of Nigeria, Nsukka, Nigeria
Cynthia Ndidiamaka Nwafor, Department of Statistics, Faculty of Physical Sciences, University of Nigeria, Nsukka, Nigeria
Received: Jul. 20, 2020;       Accepted: Jul. 30, 2020;       Published: Aug. 27, 2020
DOI: 10.11648/j.ijsd.20200603.11      View  41      Downloads  15
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.
Keywords
Volatility, Generalized Autoregressive Score, Exchange Rates, Innovations
To cite this article
Oluwagbenga Tobi Babatunde, Henrietta Ebele Oranye, Cynthia Ndidiamaka Nwafor, Volatility of Some Selected Currencies Against the Naira Using Generalized Autoregressive Score Models, International Journal of Statistical Distributions and Applications. Vol. 6, No. 3, 2020, pp. 42-46. doi: 10.11648/j.ijsd.20200603.11
Copyright
Copyright © 2020 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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