1 A STATISTICAL ANALYSIS OF NIGERIA’S EXTERNAL RESERVES, 1960-2017

Authors

  • KORVE, K. N. Federal University of Agriculture, Makurdi
  • TYONA, T. Federal University of Agriculture, Makurdi
  • AWUZIE, E. I. Federal University of Agriculture, Makurdi

Keywords:

Autoregressive Model, External Reserves, Moving Average, Nigeria, Time Series

Abstract

This study considered data on Nigeria’s external reserves from 1960-2017. The objective is to analyze the trend over the period and determine the level of volatility of the reserves. The autoregressive moving average model is constructed to enable forecast of the foreign reserves. The results show that Nigeria’s external reserves are not normally distributed but stationary, they have a dependence on previous historical values, and the volatility of the reserves is not constant. The order of the model that best fits the data is the autoregressive model of order 2 (AR2) and moving average of order 1 (MA1). The autoregressive model that best fits the data is therefore ARMA (2,1). The model was used to obtain forecast of the reserves into the future and is recommended for long forecast horizons.

Author Biographies

KORVE, K. N., Federal University of Agriculture, Makurdi

Department of Business Administration,
Federal University of Agriculture, Makurdi,
Benue State, Nigeria.

TYONA, T., Federal University of Agriculture, Makurdi

Department of Accounting and Finance,
Federal University of Agriculture, Makurdi,
Benue State, Nigeria.

AWUZIE, E. I., Federal University of Agriculture, Makurdi

Department of Business Administration,
Federal University of Agriculture, Makurdi,
Benue State, Nigeria.

Published

2020-01-01