Modeling Volatility and Daily Exchange Rate Movement in Nigeria

Ejem Chukwu Agwu Ph.D.* and Ogbonna Udochukwu Godfrey Ph.D.
Additional contact information
Ejem Chukwu Agwu Ph.D.*: Senior Lecturer, Department of Banking and Finance, Abia State University, Uturu, Nigeria
Ogbonna Udochukwu Godfrey Ph.D.: Senior Lecturer, Department of Management Sciences, Rhema University, Aba, Nigeria

International Journal of Economics and Financial Research, 2019, vol. 5, issue 11, 264-275

Abstract: This study modeled volatility and daily exchange rate movement in Nigeria with daily exchange rate between Nigeria Naira and US Dollar from January 2, 2001 to May 20, 2019 collected from the Central Bank of Nigeria (CBN). The results of the estimated models revealed that conditional variance (volatility) has positive and significant relationship with exchange rate returns between Nigeria Naira and US Dollars, which corroborates the theory that predicts positive relationship between return and volatility for risk averse investors. Also found that exchange rate volatility between Naira / US Dollar is persistent. It was also discovered that goods news produces more volatility than bad news of equal magnitude. The researchers therefore suggested that the Central Bank of Nigeria should always proffer timely intervention to reduce the volatility persistence. This will go a long way to counteract or moderate the excess volatility between Naira and US Dollar transactions.

Keywords: Exchange rate; Conditional variance (volatility); Asymmetric effects; Volatility persistence; EGARCH. (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.arpgweb.com/pdf-files/ijefr5(11)264-275.pdf (application/pdf)
https://www.arpgweb.com/journal/5/archive/11-2019/11/5 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arp:ijefrr:2019:p:264-275

Access Statistics for this article

International Journal of Economics and Financial Research is currently edited by Dr. Abu Hassan Bin Md Isa

More articles in International Journal of Economics and Financial Research from Academic Research Publishing Group Rahim Yar Khan 64200, Punjab, Pakistan.
Bibliographic data for series maintained by Managing Editor ().