Time Series Forecasting of Naira against Major Currencies Exchange Rates

The foreign exchange market is the largest and probably the most liquid financial market segment worldwide. Against this background, understanding and forecasting exchange rates behaviour is important to monetary policy and international trade. As a result, the appropriate prediction of exchange rate plays a very important role in financial risk management and economic activities of all sorts and crucial for the success of many businesses and financial managers. This paper investigates and develops the best Time Series models for Naira/USD, Naira/CFA, Naira/WAUA, Naira/RIYAL, Naira/GBP, Naira/EUR, and Naira/Yen exchange rates forecasting. The Box and Jenkins' Auto-Regressive Integrated Moving Average (ARIMA) models give a good description of the fluctuation of Naira against seven major regional and global currencies. These models were evaluated on six performance metrics.