EWMA trend and volatility models on CBN NAFEM data — naira-dollar forecasts with macro sentiment adjustments, regime detection, and 95% confidence bands.
Last 18 months of CBN NAFEM data + 6-month EWMA forecast
CBN maintained artificial peg near ₦460/$1, with large parallel market premium
Abrupt deregulation: naira crashed from ₦460 to ₦1,500+ in 8 months
NAFEM stabilisation: CBN clearance of FX backlog, rate hovering ₦1,350–₦1,710
| Driver | Correlation | Direction | Mechanism |
|---|---|---|---|
| Oil Price (USD/bbl) | 0.65 | NGN ↑ | Higher oil → more FX supply → NGN strengthens |
| CBN Net FX Reserves | 0.58 | NGN ↑ | Higher reserves → FX intervention capacity → NGN support |
| US Fed Funds Rate | 0.52 | NGN ↓ | Higher US rates → capital outflow from Nigeria → NGN weakens |
| Current Account Balance | 0.48 | NGN ↑ | Surplus → net FX inflow → NGN support |
| Inflation Differential (NG–US) | 0.71 | NGN ↓ | Purchasing Power Parity: higher local inflation → NGN depreciation |
| CBN FX Intervention | 0.44 | NGN ↑ | Active NAFEM intervention → rate stability |
The EWMA model computes exponentially weighted moving averages of log-returns (for trend) and squared log-returns (for variance), following the JP Morgan RiskMetrics approach with configurable λ parameters. Forecast paths compound the EWMA drift over the selected horizon. The macro sentiment adjustment applies additive basis-point shifts derived from user-defined oil, reserve, and global risk signals — consistent with an uncovered interest parity/current account framework. Data: CBN NAFEM/official exchange rate (2022–2024).