_____________________________________________________________________________________________________ *Corresponding author: Email: Etuk.ette@ust.edu.ng, ettetuk@yahoo.com, ettehetuk@gmail.com; Short Research Article Journal of Basic and Applied Research International 27(9): 1-7, 2021 ISSN: 2395-3438 (P), ISSN: 2395-3446 (O) AN AUTOREGRESSIVE INTEGRATED MOVING AVERAGE INTERVENTION MODEL OF 2016 BRAZILIAN REAL AND NIGERIAN NAIRA EXCHANGE RATES ETTE HARRISON ETUK a* , GODWIN NWAFOR ONYEKA b AND LENYIE LEESIE c a Department of Mathematics, Rivers State University, Port Harcourt, Nigeria. b Department of Statistics, Federal University of Technology, Owerri, Nigeria. c Department of Banking and Finance, Rivers State University, Port Harcourt, Nigeria. AUTHORS’ CONTRIBUTIONS This work was carried out in collaboration among all authors. All authors read and approved the final manuscript. Received: 09 October 2021 Accepted: 18 December 2021 Published: 20 December 2021 __________________________________________________________________________________ ABSTRACT This work is an attempt to fit an autoregressive integrated moving average (ARIMA) intervention model to daily Brazilian real (BRL) / Nigerian naira (NGN) due to the 2016 Nigerian economic recession. A time plot of the exchange rates shows the time of intervention as 22 nd June 2016. The pre-intervention rates are non-seasonal at level but seasonal at first difference. The correlogram of the first differences shows a white noise structure, which means that all post-intervention forecasts are each equal to the last rate of the original series. The transfer function of the intervention model was determined and superimposition of the graphs of the intervention model and the post-intervention rates on one another shows a close agreement between them. This indicates model adequacy for the data. The model may be used by planners for planning. Keywords: BRL/NGN exchange rates; ARIMA modeling; intervention. 1. INTRODUCTION Brazilian real (BRL, R$), the legal tender in Brazil, is divided into 100 centavos. It came into existence in 1994. It has the following notes: R$2, R$5, R$ 10, R$20, R$50, R$100 and the coins R$1, 5, 10, 25 and 50 centavos. On the other has the Nigerian naira (NGN, N ), is made up of 100 kobo (k) and comes in the following banknotes: N 5, N 10, N 20, N 50, N 100, N 200, N 500 and N 1000 and in the coins: 50k, N 1 and N 2 [1]. The exchange rates between two countries currencies reflect the amount of one currency obtainable in exchange of the other. It is the basis of bilateral relations between the two countries. An intervention arises in time series if there is an abrupt change in the series at a point. This paper is an attempt to study the noticed intervention of the BRL / NGN exchange rates of 2016 and attribute the intervention to the Nigerian economic recession of that year. The year 2016 was a hard year for Nigerian economy in that the National Bureau of Statistics (NBS) announced the emergence of a recession with the shrinking of the GDP for two consecutive quarters, the first and the second [2]. These authors also discussed how the recession caused a lowering of the