The realization of the monthly Nigerian interbank call rates herein referred to as IBCR and analyzed span from January 2006 to August 2013. The time plot of IBCR in Figure 1 shows an overall horizontal secular trend. There are two peaks: one between 2008 and 2009 and the other between 2011 and 2013. The two peaks are separated by a trough in 2010. Augmented Dickey Fuller (ADF) Test shows that IBCR is non-stationary. Seasonal (i.e. 12-point) differencing of IBCR yields a series called SDIBCR with basically a similar structure as IBCR, a trough between 2009 and 2010 separating two peaks (See Figure 2). The ADF seasonality test adjudges SDIBCR as still non-stationary. A non-seasonal differencing of SDIBCR yields DSDIBCR which has a horizontal trend and no discernible seasonality. It is adjudged to be stationary by the same test procedure. The correlogram of DSDIBCR in Figure 4 shows significant negative spikes at lag 12 for both the autocorrelations and partial autocorrelations. This indicates 12-monthly seasonality and the involvement of a seasonal moving average component of order one and a seasonal autoregressive component, also of order one, respectively. Based on this autocorrelation structure, four SARIMA models: (1, 1, 1)x(1, 1, 1)12, (1, 1, 2)x(1, 1, 1)12, (2, 1, 1)x(1, 1, 1)12 and (2, 1, 2)x(1, 1, 1)12 are proposed and fitted. In the Akaike’s Information Criterion (AIC) sense, the SARIMA(2, 1, 1)x(1, 1, 1)12 model is adjudged the most adequate.
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