Time Series Analysis On Nigerian Monthly Crude Oil Prices

ABSTRACT

 This project considered the analysis of Nigerian monthly crude oil prices using BoxJenkins methodology. Monthly data on Nigerian crude oil prices (USS/barrel) from the period January, 2000 to December, 2013, collected from the CBN Statistics Database were used for this purpose. The time plot and preliminary evaluation of the data called for log transformation and first order differencing of the data to achieve stationarity. Plots of the autocorrelation function (ACF) and partial autocorrelation function (PACF) of the transfonned and differenced series suggested that ARIMA (I, I, 1) be fitted to the data The ACF and PACF of the residuals from the fitted model behaved like those of a white noise process. These confinned the adequacy of the fitted model. The model was then used to forecast Nigerian monthly crude oil prices for the period January, 2014 to July, 2014.