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Nigeria Exchange Rate Volatility: A Comparative Study of Recurrent Neural Network LSTM and Exponential Generalized Autoregressive Conditional Heteroskedasticity Models
Journal of Artificial Intelligence and Big Data
| Vol 4, Issue 2
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