Intervention Analysis of Daily Yen/Naira Exchange Rates

An examination of the daily exchange rates of the Japanese Yen and the Nigerian Naira between May 1, 2016 and October 28, 2016 reveals an abrupt change on June 20, 2016 in further favour of the Yen. This change is significant as the pre-intervention series has a mean of 1.845 with a standard deviation of 0.0335 and the post-intervention mean of 2.9941 and standard deviation of 0.1965. A situation like this calls for an intervention on the part of the Nigerian Government. The pre-intervention data is modelled as an ARIMA(13,1,0) model. Post-intervention forecasts on the basis of the afore-mentioned model are obtained. The difference between these forecasts and the corresponding observations is modelled for the intervention model. The model parameters are observed significant indicating the significance of the model. Intervention may be carried out on the basis of the fitted model.