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Journal of Artificial Intelligence and Big Data
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  5. Volume 4, Number 2, 2024
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  7. Table 2

Nigeria Exchange Rate Volatility: A Comparative Study of Recurrent Neural Network LSTM and Exponential Generalized Autoregressive Conditional Heteroskedasticity Models

Table 2.

Unit root test usingAugmented Dickey Fuller (ADF) and Philips Perron (PP)
  Level First Difference  
  ADF PP ADF PP I(d)
 
Variables Constant Constant & Trend Constant Constant & Trend Constant Constant & Trend Constant Constant & Trend  
Euro -1.78(0.675) -1.88(0.321) -0.093(0.854) -1.21(0.632) -4.65(0.000)** 6.18(0.00)** 5.09**(0.000) 4.87**(0.000) I (1)
PoundsSterling -3.99(0.043)* -1.06(0.521) -3.99(0.043)* -1.73(0.854) -4.97(0.000)** 5.42**(0.000) 5.13**(0.000) 5.27**(0.000) I (1)
US Dollar -1.72(0.432) -2.11(0.721) -1.38(0.458) -2.09(0.396) -5.34**(0.000) 5.91**(0.000) 6.13**(0.000) 4.66**(0.00) I (1)

Source: Eviews 12; Note:** & * stand for 1% & 5% levels of significance and values in parenthesis are the P-values, while I (d) stands for the interpretation of the results