Application of Sarima Models in Modelling and Forecasting Nigeria’s Inflation Rates

Otu Archibong Otu¹, Osuji George A.², Opara Jude^3, , Mbachu Hope Ifeyinwa³ and Iheagwara Andrew I.⁴

¹Department of Statistics, Central Bank of Nigeria, Owerri

²Department of Statistics, Nnamdi Azikiwe University, PMB 5025, Awka Anambra State Nigeria

³Department of Statistics, Imo State University, PMB 2000, Owerri Nigeria

⁴Department of Planning, Research and Statistics, Ministry of Petroleum and Environment Owerri Imo State Nigeria

Cite this paper

Otu Archibong Otu, Osuji George A., Opara Jude, Mbachu Hope Ifeyinwa and Iheagwara Andrew I.. Application of Sarima Models in Modelling and Forecasting Nigeria’s Inflation Rates. American Journal of Applied Mathematics and Statistics. 2014; 2(1):16-28. doi: 10.12691/AJAMS-2-1-4

Abstract

This paper discussed the Application of SARIMA Models in Modeling and Forecasting Nigeria’s Inflation Rates. Time series analysis and forecasting is an efficient versatile tool in diverse applications such as in economics and finance, hydrology and environmental management fields just to mention a few. Among the most effective approaches for analyzing time series data, the method propounded by Box and Jenkins, the Autoregressive Integrated Moving Average (ARIMA) was employed in this study. In this paper, we used Box-Jenkins methodology to build ARIMA model for ’s monthly inflation rates for the period November 2003 to October 2013 with a total of 120 data points. In this research, ARIMA (1, 1, 1) (0, 0, 1)12 model was developed, and obtained as = 0.3587y_t+0.6413y_t-1-0.8840e_t-11 -0.7308912e_t-12+0.8268e_t. This model is used to forecast ’s monthly inflation for the upcoming year 2014. The forecasted results will help policy makers gain insight into more appropriate economic and monetary policy in other to combat the predicted rise in inflation rates beginning the first quarter of 2014.

Keywords

ARIMA Model, SARIMA Model, forecasting, ARMA Model, Box-Jenkins Methods, inflation rates, Akaike Information Criteria, Bayesian Information Criterion

Copyright

This work is licensed under a Creative Commons Attribution 4.0 International License. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/

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