Forecasting Quarterly Exchange Rates Using Fuzzy Time Series: A Catalyst for Business Projections Amidst Global Pandemic

Abstract

In the phase of global pandemic, a knowledge of exchange rates movement remains an indispensable tool for international business projections. However, projections amidst global pandemic requires forecasting methods that works adequately with an incomplete information for which Fuzzy Time Series method is appropriate. Hence, this paper proposes a novel fuzzy time series model for forecasting quarterly average Inter-bank Foreign Exchange Market (IFEM) rates of Nigeria Naira against United States Dollar derived from monthly average rates over the periods 2004 to 2020 made available at www.cbn.gov.ng/rates/exrates.asp by the Central Bank of Nigeria. The effectiveness of the proposed model based on performance metric (MAPE) indicates that the proposed fuzzy time series method is suitable for forecasting the Naira’s parity with the United States Dollar.