Modeling Long Memory Volatilities of Nigeria Selected Macro Economic Variables with Arfima and Arfima Figarch

Ayoade Adewole

doi:10.17776/csj.1467360

EN

Modeling Long Memory Volatilities of Nigeria Selected Macro Economic Variables with Arfima and Arfima Figarch

Abstract

The research delved into analysing the stochastic characteristics of Nigeria's Real GDP, the exchange rate of the Naira to US Dollar, and the inflation rate employing Autoregressive fractionally integrated moving average (ARFIMA) and the Autoregressive Fractionally Integrated Moving Average Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity (FIGARCH) modelling approach. The ability of the hybrid formation of ARFIMA-FIGARCH model with Nigeria macroeconomic variables in modeling the periodicity of long memory volatilities was examined. ARIMA GARCH method of modeling was also employed in analyzing the volatilities of Nigeria selected macroeconomic variables to enrich the study. The efficiency of ARFIMA, ARFIMA FIGARCH and ARIMA GARCH models were evaluated with the forecast evaluation measurements. Results revealed that ARFIMA FIGARCH and ARIMA GARCH models are more adequate in modeling the Inflation rate and the exchange rate while ARFIMA present more adequacies in modeling the RGDP. This result revealed evidence of high volatilities in Nigeria Inflation and the exchange rate of Naira to US dollar

Keywords

: Volatilities, Long Memory, Macroeconomic variables, Arfima Figarch

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Details

Primary Language

English

Subjects

Applied Statistics

Journal Section

Research Article

Authors

Ayoade Adewole ^*
0000-0002-5416-9202
Nigeria

Publication Date

September 30, 2024

Submission Date

April 10, 2024

Acceptance Date

August 20, 2024

Published in Issue

Year 2024 Volume: 45 Number: 3

DOI

https://doi.org/10.17776/csj.1467360

IZ

https://izlik.org/JA89HG35YF

APA

Adewole, A. (2024). Modeling Long Memory Volatilities of Nigeria Selected Macro Economic Variables with Arfima and Arfima Figarch. Cumhuriyet Science Journal, 45(3), 618-628. https://doi.org/10.17776/csj.1467360

AMA

1.Adewole A. Modeling Long Memory Volatilities of Nigeria Selected Macro Economic Variables with Arfima and Arfima Figarch. CSJ. 2024;45(3):618-628. doi:10.17776/csj.1467360

Chicago

Adewole, Ayoade. 2024. “Modeling Long Memory Volatilities of Nigeria Selected Macro Economic Variables With Arfima and Arfima Figarch”. Cumhuriyet Science Journal 45 (3): 618-28. https://doi.org/10.17776/csj.1467360.

EndNote

Adewole A (September 1, 2024) Modeling Long Memory Volatilities of Nigeria Selected Macro Economic Variables with Arfima and Arfima Figarch. Cumhuriyet Science Journal 45 3 618–628.

IEEE

[1]A. Adewole, “Modeling Long Memory Volatilities of Nigeria Selected Macro Economic Variables with Arfima and Arfima Figarch”, CSJ, vol. 45, no. 3, pp. 618–628, Sept. 2024, doi: 10.17776/csj.1467360.

ISNAD

Adewole, Ayoade. “Modeling Long Memory Volatilities of Nigeria Selected Macro Economic Variables With Arfima and Arfima Figarch”. Cumhuriyet Science Journal 45/3 (September 1, 2024): 618-628. https://doi.org/10.17776/csj.1467360.

JAMA

1.Adewole A. Modeling Long Memory Volatilities of Nigeria Selected Macro Economic Variables with Arfima and Arfima Figarch. CSJ. 2024;45:618–628.

MLA

Adewole, Ayoade. “Modeling Long Memory Volatilities of Nigeria Selected Macro Economic Variables With Arfima and Arfima Figarch”. Cumhuriyet Science Journal, vol. 45, no. 3, Sept. 2024, pp. 618-2, doi:10.17776/csj.1467360.

Vancouver

1.Ayoade Adewole. Modeling Long Memory Volatilities of Nigeria Selected Macro Economic Variables with Arfima and Arfima Figarch. CSJ. 2024 Sep. 1;45(3):618-2. doi:10.17776/csj.1467360

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