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Journal articles on the topic 'Naira volatility'

Author: Grafiati

Published: 2 June 2025

Last updated: 31 July 2025

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1

Chukwu Agwu, Ejem, and Ogbonna Udochukwu Godfrey. "Modeling Volatility and Daily Exchange Rate Movement in Nigeria." International Journal of Economics and Financial Research, no. 511 (November 25, 2019): 264–75. http://dx.doi.org/10.32861/ijefr.511.264.275.

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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 Doll

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2

Johnson Ohakwe, Chibuzo G. Amaefula, and Ademola A. Adekoya. "Contributions of Naira-USD, Naira-Franc and Naira-Yuan exchange rates on inflation and its volatility in Nigeria." World Journal of Advanced Research and Reviews 23, no. 2 (2024): 906–15. http://dx.doi.org/10.30574/wjarr.2024.23.2.2403.

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The alarming increase in consumers goods and services with concurrent devaluations of naira have necessitated the need to examine the effects of NUSX(Nigerian naira/1 US dollar), NFX (Nigerian naira/1 France franc) and NCX (Nigerian naira/1 Chinese yuan) rates on inflation(measured by CPI) and its volatility in Nigeria using data sets spanning from 2008 to 2022. The auxiliary autoregressive AAR(3) order of integration test specify that all the variables are stationary at first difference. Adopting multiple regression model with least square method of estimation and generalized autoregressive c

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3

Johnson, Ohakwe, G. Amaefula Chibuzo, and A. Adekoya Ademola. "Contributions of Naira-USD, Naira-Franc and Naira-Yuan exchange rates on inflation and its volatility in Nigeria." World Journal of Advanced Research and Reviews 23, no. 2 (2024): 906–15. https://doi.org/10.5281/zenodo.14848516.

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The alarming increase in consumers goods and services with concurrent devaluations of naira have necessitated the need to examine the effects of NUSX(Nigerian naira/1 US dollar), NFX (Nigerian naira/1 France franc) and NCX (Nigerian naira/1 Chinese yuan) rates on inflation(measured by CPI) and its volatility in Nigeria using data sets spanning from 2008 to 2022. The auxiliary autoregressive AAR(3) order of integration test specify that  all the variables are stationary at first difference. Adopting multiple regression model with least square method of estimation and generalized autoregres

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4

Joshua Ikenna Egerson, Mosopefoluwa Williams, Aramide Aribigbola, Maureen Okafor, and Adedeji Olaleye. "Cybersecurity strategies for protecting big data in business intelligence systems: Implication for operational efficiency and profitability." World Journal of Advanced Research and Reviews 23, no. 2 (2024): 916–24. http://dx.doi.org/10.30574/wjarr.2024.23.2.2390.

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The alarming increase in consumers goods and services with concurrent devaluations of naira have necessitated the need to examine the effects of NUSX(Nigerian naira/1 US dollar), NFX (Nigerian naira/1 France franc) and NCX (Nigerian naira/1 Chinese yuan) rates on inflation(measured by CPI) and its volatility in Nigeria using data sets spanning from 2008 to 2022. The auxiliary autoregressive AAR(3) order of integration test specify that all the variables are stationary at first difference. Adopting multiple regression model with least square method of estimation and generalized autoregressive c

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5

Joshua, Ikenna Egerson, Williams Mosopefoluwa, Aribigbola Aramide, Okafor Maureen, and Olaleye Adedeji. "Cybersecurity strategies for protecting big data in business intelligence systems: Implication for operational efficiency and profitability." World Journal of Advanced Research and Reviews 23, no. 2 (2024): 916–24. https://doi.org/10.5281/zenodo.14848528.

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The alarming increase in consumers goods and services with concurrent devaluations of naira have necessitated the need to examine the effects of NUSX(Nigerian naira/1 US dollar), NFX (Nigerian naira/1 France franc) and NCX (Nigerian naira/1 Chinese yuan) rates on inflation(measured by CPI) and its volatility in Nigeria using data sets spanning from 2008 to 2022. The auxiliary autoregressive AAR(3) order of integration test specify that  all the variables are stationary at first difference. Adopting multiple regression model with least square method of estimation and generalized autoregres

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6

Ibidapo Ayobami Adeyiola and OlaOluwa Simon Yaya. "Value-at-risk modeling of naira exchange rates." World Journal of Advanced Research and Reviews 23, no. 3 (2024): 1717–27. http://dx.doi.org/10.30574/wjarr.2024.23.3.2789.

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The naira exchange rate has experienced extreme volatility, and the use of derivatives to control interest rates and currency risks has grown quickly. These developments have made risk management research necessary. To this effect, this paper investigated the optimal volatility model that offers the best VaR forecasts and minimizes expected loss in the Naira exchange rate. The data was collected from FX time and consisted of the Euro to Naira exchange and the daily closing rate of the US dollar to Naira exchange rate from 24/10/2016 to 15/06/2018. These data were estimated using different symm

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7

Ibidapo, Ayobami Adeyiola, and Simon Yaya OlaOluwa. "Value-at-risk modeling of naira exchange rates." World Journal of Advanced Research and Reviews 23, no. 3 (2024): 1717–27. https://doi.org/10.5281/zenodo.14949030.

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The naira exchange rate has experienced extreme volatility, and the use of derivatives to control interest rates and currency risks has grown quickly. These developments have made risk management research necessary. To this effect, this paper investigated the optimal volatility model that offers the best VaR forecasts and minimizes expected loss in the Naira exchange rate. The data was collected from FX time and consisted of the Euro to Naira exchange and the daily closing rate of the US dollar to Naira exchange rate from 24/10/2016 to 15/06/2018. These data were estimated using different symm

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8

Emenike, Kalu Onwukwe. "Exchange rate volatility in West African countries: is there a shred of Spillover?" International Journal of Emerging Markets 13, no. 6 (2018): 1457–74. http://dx.doi.org/10.1108/ijoem-08-2017-0312.

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Purpose The purpose of this paper is to evaluate selected West African currencies/US dollar exchange rates for the evidence of volatility spillover. Specifically, the paper examines West African CFA franc, Gambian dalasi and Nigerian naira exchange rates in relation to the USD, for any evidence of shock and volatility spillover. Design/methodology/approach The author employs multivariate GARCH (1,1)–BEKK model which enables the evaluation of the interaction within the volatility of two or more series because of its capability to detect volatility spillover among time series observations, as we

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9

Ohwadua, E. O., and A. R. Akanji. "Dual Foreign Exchange Rate in Nigeria: Stylised Facts and Volatility Modelling." Journal of Advances in Mathematics and Computer Science 38, no. 9 (2023): 81–97. http://dx.doi.org/10.9734/jamcs/2023/v38i91806.

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This study examines the dual dynamics of Interbank Foreign Exchange Market (IFEM) and Bureau De Change (BDC) Market rates between the Nigerian Naira and the US Dollar over a ten-year period from 2012 to 2022. We investigate the dual foreign exchange rates – Interbank Foreign Exchange Market (IFEM) and Bureau De Change (BDC) Market rates between the Nigerian Naira and the US Dollar for ten years from 2012 to 2022. By employing MGARCH (multivariate generalized autoregressive conditional heteroscedasticity), we analyse the volatility of the naira in the dual foreign exchange windows and examine t

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10

Olanrewaju, R. O., J. F. Ojo, and L. O. Adekola. "Bayesian latent autoregressive stochastic volatility: an application of naira to eleven exchangeable currencies rates." Open Journal of Mathematical Sciences 4, no. 1 (2020): 386–96. http://dx.doi.org/10.30538/oms2020.0128.

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This paper provides a procedure for estimating Stochastic Volatility (SV) in financial time series via latent autoregressive in a Bayesian setting. A Gaussian distributional combined prior and posterior of all hyper-parameters (autoregressive coefficients) were specified such that the Markov Chain Monte Carlo (MCMC) iterative procedure via the Gibbs and Metropolis-Hasting sampling method was used in estimating the resulting exponentiated forms (quadratic forms) from the posterior kernel density. A case study of Naira to eleven (11) exchangeable currencies\(^,\) rates by Central Bank of Nigeria

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11

Babalola, Abdurrauf, and Kudu Ibn Muhammad. "Impact of Neighbouring Currencies on Nigeria’s Currency Instability." Econometrics 28, no. 1 (2024): 11–25. http://dx.doi.org/10.15611/eada.2024.1.02.

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This study examines the effect of the exchange rate volatility of currencies of countries bordering Nigeria, namely the Benin Republic, Niger, Chad and the Cameroon Republic on Nigeria's exchange rate volatility using monthly observations for 1st January 2001 to 31st December 2021. The study employed the Generalised Auto-Regressive Conditional Heteroscedasticity method to analyse the dataset. The study found that fluctuations in the currencies of these countries have a significant impact on the volatility of Nigeria's currency naira. As a result, it is recommended that policymakers and governm

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12

Abdullahi, Abdulganiy. "Modelling Volatility Persistence and Asymmetry of Naira-Yuan Exchange Rate." International Journal of Development Mathematics (IJDM) 2, no. 2 (2025): 328–44. https://doi.org/10.62054/ijdm/0202.19.

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This study investigates the impact of the Naira-Yuan Swap agreement on the stability, volatility, and potential symmetry and asymmetry of the Naira-Yuan/Renminbi exchange rate in the interbank market (Selling Rate) using daily data from January 2015 to November 2024. We employ the Augmented Dickey-Fuller (ADF) test and various asymmetric conditional volatility models, including Autoregressive Conditional Heteroscedasticity (ARCH), Generalized Autoregressive Conditional Heteroscedasticity (GARCH), GJR-GARCH, APARCH, and PARCH, to estimate the instability and variations in exchange rates across

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13

AVOGBE, Didier AVLEKETE, and Charlemagne Babatounde IGUE. "FINANCIAL PERFORMANCE AND ECONOMIC GROWTH IN BENIN: IMPACT OF NAIRA EXCHANGE RATE VOLATILITY." ASIAN JOURNAL OF ECONOMICS AND BUSINESS 5, no. 2 (2024): 91–117. https://doi.org/10.47509/ajeb.2024.v05i02.01.

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The presence of frictions can alter the relationship between corporate profitability and national wealth. This paper examines the relationship between corporate financial performance and economic growth in Benin, focusing primarily on the impact of volatile changes in the official exchange rate of the Nigerian naira on this relationship. Using aggregate microeconomic data on 234 formal firms of all categories (small, medium and large), complemented by quarterly data on the economy as a whole from 2013 to 2018, two error-correction models were estimated using time-series econometric techniques.

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14

Tule, Moses, Mela Dogo, and Godfrey Uzonwanne. "Volatility of stock market returns and the naira exchange rate." Global Finance Journal 35 (February 2018): 97–105. http://dx.doi.org/10.1016/j.gfj.2017.08.001.

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15

Udeaja, Elias A. "Measuring Dynamic Return and Volatility Connectedness among Nigerian Financial Markets." Central Bank of Nigeria Journal of Applied Statistics, Vol. 10 No. 2 (February 21, 2020): 169–91. http://dx.doi.org/10.33429/cjas.10219.6/6.

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This study employs the connectedness measure of Diebold and Yilmaz (2012, 2014) to examine the intensity of connectedness among the Nigerian financial markets for the period January 2000 to December 2018. The study used all shares index, Treasury bill rate and Naira/USD official exchange rate to measure stock market, money market and exchange rate market, respectively. The study found connectedness among the Nigerian financial markets to be highly time-varying and appear to be higher during the period of high depreciation of the naira which coincides with the period of falling oil prices and d

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16

Akanni, Lateef Olawale. "Returns and volatility spillover between food prices and exchange rate in Nigeria." Journal of Agribusiness in Developing and Emerging Economies 10, no. 3 (2020): 307–25. http://dx.doi.org/10.1108/jadee-04-2019-0045.

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PurposeEmpirical studies have documented the linkage between exchange rate movement and food prices. However, the purpose of this study is to investigate the degree and direction of returns and volatility spillover transmission between exchange rate and domestic food prices in Nigeria.Design/methodology/approachThe study uses weekly data from January 2010 to January 2019. Also, the study adopts the improved Diebold and Yilmaz (2012) approach to evaluate the return and volatility spillover between food price and naira to dollar exchange rate. The study also account for 2016 exchange rate crash

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17

EDEWHOR, Vincent. "Impact of Naira Devaluation on Small & Medium Scale Enterprises (SMEs) in Nigeria: A Survey of South-South States, Nigeria." International Journal of Research and Innovation in Social Science IX, no. XIV (2025): 1152–58. https://doi.org/10.47772/ijriss.2025.914mg0086.

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The study focuses on the impact of Naira devaluation on the SMEs, within the South-South geopolitical zone of Nigeria. Small and medium-scale enterprises., which are known to account for a large percentage of Nigeria’s gross domestic product and employment, are not left out from the effect of devaluation of the naira. The study covers the naira’s history, emphasizing on how it decreased in 2024 as a result of the President Bola Tinubu administration’s flexible exchange rate policy. In order to investigate the impact of currency devaluation, foreign exchange (forex) volatility, and price increa

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18

Akanbi, Sa’ad Babatunde, Halimah Adedayo Alagbe, Hammed Agboola Yusuf, and Musibau Hammed Oluwaseyi. "Exchange rate volatility and non-oil exports in Nigeria: An empirical investigation." Journal of Emerging Economies and Islamic Research 5, no. 2 (2017): 5. http://dx.doi.org/10.24191/jeeir.v5i2.8800.

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The adoption of a flexible exchange rate system since 1986 in Nigeria has made the country witnessed varying rate of the naira vis-à-vis the U.S dollar. This paper examines exchange rate volatility with ARCH model and its various extensions (GARCH, TGARCH, and EGARCH) using quarterly exchange rate series from 1986-Q1 to 2014-Q4.The impact of exchange rate volatility on non-oil exports was also examined using Error Correction Model (ECM) with two different measures of volatility. The results obtained confirm the existence of exchange rate volatility and also found a significant negative effect

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19

Akanbi, Sa’ad Babatunde, Halimah Adedayo Alagbe, Hammed Agboola Yusuf, and Musibau Hammed Oluwaseyi. "Exchange rate volatility and non-oil exports in Nigeria: An empirical investigation." Journal of Emerging Economies and Islamic Research 5, no. 2 (2017): 5–15. https://doi.org/10.24191/jeeir.v5i2.6269.

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The adoption of a flexible exchange rate system since 1986 in Nigeria has made the country witnessed varying rate of the naira vis-à-vis the U.S dollar. This paper examines exchange rate volatility with ARCH model and its various extensions (GARCH, TGARCH, and EGARCH) using quarterly exchange rate series from 1986-Q1 to 2014-Q4.The impact of exchange rate volatility on non-oil exports was also examined using Error Correction Model (ECM) with two different measures of volatility. The results obtained confirm the existence of exchange rate volatility and also found a significant negative effect

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20

Ogbulu, Onyemachi Maxwell. "Oil Price Volatility, Exchange Rate Movements and Stock Market Reaction: The Nigerian Experience (1985-2017)." American Finance & Banking Review 3, no. 1 (2018): 12–25. http://dx.doi.org/10.46281/amfbr.v3i1.200.

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Given the observed volatility in crude oil prices in the international oil market and the role which oil and gas play in the Nigerian economy, this paper is an attempt to investigate the impact of crude oil prices and foreign exchange rate movements on stock market prices in Nigeria. In addition, the paper examined whether there is any volatility pass-through between the dollar price of Nigerian crude oil, foreign exchange rate of the Naira and stock market prices respectively. Data employed for the study are monthly values of the Nigerian Stock Exchange (NSE) All-Share Index (ASI), Dollar pri

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Maigana, Alhaji Bakawu, Abdulkadir Ahmed, Usman Maitoro Shafiu, and Malik Abdulrahman. "Evaluation of Models for Forecasting Daily Foreign Exchange Rates Between Nigerian Naira and US Dollar Amidst Volatility." International Journal of Science and Business 4, no. 1 (2020): 95–105. https://doi.org/10.5281/zenodo.3601100.

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In her quest to put the nations’ foreign exchange policy in line with global practice, the Central Bank of Nigeria (CBN) in the mid of 2016 made a paradigm shift by unveiling flexible foreign exchange policy driven purely by market forces. Consequently, forecasting models reported during pegging policy era may be deeming obsolete. This paper proposed a prediction model for future daily selling exchange rate between Nigerian Naira and United States Dollar in the interbank market amidst volatility using daily rates made available by the Central Bank of Nigeria over the periods July, 2016 t

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OWOTA, Perelayefa George (PhD)1* IHENYEN Joel Confidence (PhD)2 JOHNSON Kiyaramo Christopher3. "FOREIGN EXCHANGE PUZZLE: UNRAVELING THE IMPACT OF SECTORAL ALLOCATION ON NAIRA VOLATILITY." ISRG Journal of Economics, Business & Management (ISRGJEBM) III, no. III (2025): 73–79. https://doi.org/10.5281/zenodo.15532252.

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<em>This study looked at the Nigerian Naira's volatility from 2000 to 2023 and how sectoral allocation of foreign exchange affected it. The study used a least squares regression model to examine the link between the exchange rate and the foreign currency utilisation in the industrial and agricultural sectors using data on this topic. The results showed that the exchange rate was significantly affected negatively by the industrial sector's use of foreign exchange (r=0.055763, p=0.0100), and positively by the agricultural sector's use (r=0.497004, p=0.0481). Together, these industries explained

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23

Umoru, David, and Oluwatoyin Dorcas Tedunjaiye. "Exchange rate dynamics of Naira in relation to international currencies: Some simulation results." Accounting 11, no. 4 (2025): 289–308. https://doi.org/10.5267/j.ac.2025.5.003.

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This study evaluates exchange rate dynamics between the Naira and global currencies, utilizing weekly data from 2008 to 2024. The exchange rates, NGN/USD, NGN/CAD, NGN/AUD, NGN/EUR, and NGN/JPY were analyzed to explore the impact of macroeconomic determinants such as interest rate differentials, market volatility, and inflation rate differentials on exchange rates. The study employed ARIMA regression, and the wavelength techniques. The results climax the nuanced interplay between global financial flows and local economic conditions in determining exchange rates of the Naira against global curr

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24

Magaji, Bashir, and Jamilu Garba. "Long Memory and Volatility Models in Forecasting Exchange Rate of Nigerian Naira to United State Dollar." Dutse Journal of Pure and Applied Sciences 9, no. 2b (2023): 20–29. http://dx.doi.org/10.4314/dujopas.v9i2b.3.

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Financial time series such as stock prices, inflation rates, interest rates, and exchange rates are known to exhibit upward and downward trend and often possesses long memory and volatility behavior. These behaviors are crucial in the analysis, modeling and forecasting of time series data. Unfortunately, many analysts don’t take into consideration the consequences of long memory and volatility while modeling financial time series data. Therefore, this paper intends to examine the effect of long memory and volatility in forecasting Exchange Rate of Nigerian Naira-United State Dollar. The data u

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Umar, Saminu, Shehu Sidi Abubakar, Abdulrashid M. Salihu, and Zayyanu Umar. "MODELLING NAIRA/POUNDS EXCHANGE RATE VOLATILITY: APPLICATION OF ARIMA AND GARCH MODELS." International Journal of Engineering Applied Sciences and Technology 04, no. 08 (2019): 238–42. http://dx.doi.org/10.33564/ijeast.2019.v04i08.042.

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Nafisat Tanko, Ahmad, Musa G K, and Musa Salisu Auta. "On the use of arima and garch in modelling nigeria’s naira – us dollar monthly exchange rates." Global Journal of Pure and Applied Sciences 29, no. 1 (2023): 73–82. http://dx.doi.org/10.4314/gjpas.v29i1.9.

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This paper aimed at modelling the volatility of monthly average official exchange rate (Naira/USD) using the Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) for the period January, 1981 to December, 2021. The data for the study was obtained from Central Bank of Nigeria 2021 Statistical Bulletin. The time plot, Augmented Dickey Fuller (ADF) and Phillip’s Perron (PP) were used to check for the Stationarity of the Series. It was discovered that the series is not stationary, thus the need for differencing to make it stationary.

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Tanko, Ahmad, Nafisatu, G. K. Musa, Musa, Salisu Auta, and Muhammed Haruna. "On the use of ARIMA and GARCH in Modelling Nigeria’s Naira: Us Dollar Monthly Exchange Rates." Asian Journal of Probability and Statistics 22, no. 2 (2023): 8–18. http://dx.doi.org/10.9734/ajpas/2023/v22i2479.

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This paper aimed at modelling the volatility of monthly average official exchange rate (Naira/USD) using the Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) for the period January, 1981 to December, 2021. The data for the study was obtained from Central Bank of Nigeria 2021 Statistical Bulletin. The time plot, Augmented Dickey Fuller (ADF) and Phillip’s Perron (PP) were used to check for the Stationarity of the Series. It was discovered that the series is not stationary, thus the need for differencing to make it stationary.

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28

CHINWE, AGHA NANCY, OLADELE ROTIMI, FELIX N. AWA, and EMMANUEL A. ARISI-NWUGBALLA. "AN EMPIRICAL ANALYSIS OF CAUSATIVE EFFECT OF LINGERING NAIRA DEVALUATION ON NIGERIAN ECONOMY." Certified National Accountant Journal 32, no. 1 (2024): 31–49. http://dx.doi.org/10.70518/cnaj.v32i1.03.

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This study focused on the effect of the inflationary trend caused by persistent loss of value of Naira on the Economic growth and foreign exchange market in Nigeria. The study adopted quantitative research design. Data for this study were of secondary sources obtained from the Statistical Bulletin of Central Bank of Nigeria. Data collected were analysed using multiple regression. The result of the study revealed that inflation negatively affects the GDP. The loan cost on the other hand positively affects the GDP. Also, exchange receptiveness negatively affects the GDP. The study affirmed econo

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Dr., Nathan Emmanuel, and Oyeinbrakemi Innocent Azebi. "Naira to Dollar Exchange Rate Fluctuations and Nigeria's Balance of Payment." Journal of Economics, Finance and Management Studies 5, no. 09 (2022): 2758–65. https://doi.org/10.5281/zenodo.7115294.

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The authors analyze how changes in the value of the naira affect the country’s overall trade surplus or deficit. The 2020 edition of the Central Bank of Nigeria Statistical Bulletin was consulted for data on the country’s balance of payments, exchange rate, trade openness, and inflation rates. Exchange rate, exchange rate fluctuation, trade openness, and inflation rate are the independent variables, and the balance of payments (BOPs) is the dependent variable. The model’s variables’ stationary was determined using the ADF unit root test method. The results of the tests

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ALABI, Adeyemi Wasiu, Oluwasegun David OJO, Ishola Rufus AKINTOYE, Joseph Seun KOLAWOLE, and Grace Oluwatofunmi ADELEYE. "Exchange Rate Fluctuation and the Value of the Nigerian Naira: The Mediating Effects on Pricing Strategies of Local Firms." Asian Journal of Economics, Business and Accounting 25, no. 3 (2025): 422–38. https://doi.org/10.9734/ajeba/2025/v25i31720.

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This study investigated the effect of U.S dollar exchange rate fluctuations on the purchasing power of Naira and the pricing strategies of local traders in Nigeria. The study adopted a mixed research design (descriptive and ex-post facto). For the descriptive survey, the study population covers all the local sellers in all the main markets across Nigeria’s six (6) geopolitical zones. The sampled size covered 1440 local traders in the markets across the geopolitical zones using a multi-stage sampling process urea. Also, six (6) local traders were selected from the largest market in each of the

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31

Oyalowo, Ayobami. "Stabilising the Foreign Exchange Market: The Role of Federal Government Interventions in Strengthening the Naira in Nigeria under President Bola Ahmed Tinubu." Journal of Research in Humanities and Social Science 13, no. 5 (2025): 33–36. https://doi.org/10.35629/9467-13053336.

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The Nigerian foreign exchange (FX) market has faced persistent volatility, with the Naira experiencing significant depreciation against major global currencies, particularly the US Dollar. Since assuming office in May 2023, the President Bola Ahmed Tinubu’s administration has implemented several monetary and fiscal policies aimed at stabilising the FX market and strengthening the Naira. This paper examines the effectiveness of these interventions, analysing key measures such as the unification of exchange rates, foreign exchange liquidity injection, monetary policy adjustments, and fiscal refo

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32

Adi, Agya Atabani, Amadi W. Kingsley, and David Vincent Hassan. "Comparative Analysis of Naira/US Dollar Exchange Rate Volatility using GARCH Variant Modeling." Journal of Finance and Accounting Research 3, no. 1 (2021): 18–41. http://dx.doi.org/10.32350/jfar.0301.02.

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This paper employed variant GARCH models to examined official, interbank and Bureau de change returns volatilities. Using monthly exchange rate of Naira/USD from January 2004 to September 2020 (2004:1-2020:9), the returns were not normally distributed and stationary at level. Ljung-Box Q statistic and Ljung-Box Q2 statistics of power transformed using power 0.25, 0.5 and 0.75 for conditional heteroscedasticity for lags of 6, 12 and 20 indicated present of conditional heteroscedascity in all returns.  The study found exchange rate volatility in Official, interbank and Bureau de change exc

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Tobi Babatunde, Oluwagbenga, Henrietta Ebele Oranye, and Cynthia Ndidiamaka Nwafor. "Volatility of Some Selected Currencies Against the Naira Using Generalized Autoregressive Score Models." International Journal of Statistical Distributions and Applications 6, no. 3 (2020): 42. http://dx.doi.org/10.11648/j.ijsd.20200603.11.

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34

Sa’idu, Bello Malam. "Effect of Exchange Rate Volatility on Exports in Nigeria: A Test of Cochrane-Orcutt Technique." International Journal of Management and Sustainability 3, no. 12 (2015): 684–96. http://dx.doi.org/10.18488/journal.11/2014.3.12/11.12.684.696.

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This paper examines the dynamic effects of exchange rate fluctuations on exports in Nigeria. To achieve the set objectives, classical least square and Cochrane-Orcutt technique were applied. Results revealed that exchange rate volatility and foreign income have positive and significant effect on exports, while relative prices exert negative and significant effect on exports. This implies that, a unit rise in exchange rate volatility and foreign income, coincidentally both lead to increase in exports by eightfold. Consequently, government should strengthen the Naira to minor spirals, attract fo

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Udoudo, Kufre Jerome, Ijeoma Emele Kalu, and Koyejo Oduola. "Impact of Liquefied Natural Gas Exports on the Nigerian Exchange Rate: An ARDL Cointegration Approach, 2000 to 2021." American Journal of Applied Statistics and Economics 3, no. 1 (2023): 1–14. http://dx.doi.org/10.54536/ajase.v3i1.2216.

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This study aimed to investigate the impact of liquefied natural gas (LNG) exports on the exchange rate of Nigeria. The investigation employed an autoregressive distributed lag model (ARDL) methodology to analyse data spanning the years 2000 to 2021 using a biannual dataset. The empirical findings provided evidence of a statistically significant and positive influence of liquefied natural gas exports on the exchange rate. This is supported by the results obtained from the short-term analysis. The research results revealed no causal link between the exports of LNG and the exchange rate in Nigeri

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Ibrahim, Mamuda Kukasheka, M. Tasi’u, and H. G. Dikko. "A STUDY ON THE VOLATILITY SPILLOVER BETWEEN NIGERIAN AND BRICS ECONOMIES USING MULTIVARIATE GARCH MODELS." FUDMA JOURNAL OF SCIENCES 8, no. 2 (2024): 170–79. http://dx.doi.org/10.33003/fjs-2024-0802-2270.

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BRIC-African relation has been of interest to key stakeholders especially given the inclusion of South Africa. In the existing literature some researchers hypothesized inclusion of Nigeria will accelerate BRICS objective of enhancing market access to ensure rapid economic growth among other objectives. This study utilized daily exchange rates of Naira/Dollar together with BRICS Dollar exchange rate for a period of 18 years. The study aimed to determine the volatility spillover between Nigerian and BRICS nations via Multivariate GARCH family: VECH, DBEKK and CCC Models. The result of VECH and D

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Umoru, David, Solomon Edem Effiong, Salisu Shehu Umar, et al. "Exchange rate volatility transmission in emerging markets." Corporate and Business Strategy Review 4, no. 2 (2023): 37–47. http://dx.doi.org/10.22495/cbsrv4i2art4.

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Exchange rate volatility, or a continuous fluctuation in the currency rate has been a major concern in recent years due to its impact on economic activities. No wonder concerns have been raised regarding the connection between exchange rate fluctuations and their effects on the overall economy. The motivation for the study is based on the fact that most emerging economies experiencing inflationary tendencies are more likely to experience a high degree of exchange rate volatility persistence. Such a scenario seems catastrophic to developing economies where large currency movement are more frequ

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Musa, Yakubu, and Bello Abubakar. "Investigating Daily Naira/Dollar Exchange Rate Volatility: A Modeling using GARCH and Asymmetric Models." IOSR Journal of Mathematics 10, no. 2 (2014): 139–48. http://dx.doi.org/10.9790/5728-1022139148.

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AIGHEYISI, O. S., and A. H. ISIKHUEMEN. "TRADE AND FINANCIAL OPENNESS, AND OUTPUT GROWTH VOLATILITY: EVIDENCE FROM NIGERIA." Journal of Humanities, Social Science and Creative Arts 13, no. 1 (2019): 14–30. http://dx.doi.org/10.51406/jhssca.v13i1.1926.

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This study investigates the effect of trade openness and financial openness on output growth volatility in Nigeria using annual time series data that span the period from 1970 to 2015. Output growth volatility is generated using an EGARCH (1,1) process, and this was regressed on indices or measures of trade openness, financial openness (using the Chinn-Ito index), oil price, financial development and exchange rate. The autoregressive distributed lag (ARDL) approach to cointegration and error correction modeling was employed for the analysis. The empirical evidence indicates that trade openness

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Umoru, David, Anthony A. Ekeoba, and Beauty Igbinovia. "Volatility Behaviour of Currency Exchange Rates in Selected Countries: Long Memory Effect." Asian Journal of Economics, Business and Accounting 24, no. 8 (2024): 168–89. http://dx.doi.org/10.9734/ajeba/2024/v24i81449.

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In financial econometrics, models of long memory, such as ARFIMA models, are compared to short memory models, such as ARIMA models. Given that the researchers were empirically desirous of determining the volatility behaviour of exchange rate returns on African currencies in exchange for the United States dollar, we went beyond ARIMA modeling to test for the incidence or otherwise of fractional integration of all the currencies of selected countries in view of data availability. Hence, the order of integration test was carried out. Three different models of ARFIMA (1, d, q) were subjected to se

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Atoi, Ngozi V., and Chinedu G. Nwambeke. "Money and Foreign Exchange Markets Dynamics in Nigeria: A Multivariate GARCH Approach." Central Bank of Nigeria Journal of Applied Statistics 12, No. 1 (2021): 109–38. http://dx.doi.org/10.33429/cjas.12121.5/6.

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This study examines money market and foreign exchange market dynamics in Nigeria by estimating the dynamic correlation and volatility spillovers between Nigeria Naira/US Dollar Bureau De Change (BDC) exchange rate and interbank call rate with data from January 2007 to August 2019. The study employs a dynamic conditional correlation form of GARCH model (DCC-GARCH) to access the nature of correlation, while an unrestricted bivariate BEKK-GARCH (1, 1) form of multivariate GARCH model is utilized to investigate shocks and volatility spillover of the rates. The estimated DCC-GARCH (1, 1) reveals th

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Daggash, Jibrin, and Terfa W. Abraham. "Effect of Exchange Rate Returns on Equity Prices: Evidence from South Africa and Nigeria." International Journal of Economics and Finance 9, no. 11 (2017): 35. http://dx.doi.org/10.5539/ijef.v9n11p35.

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This paper examines the exchange rate returns of the Rand (relative to the US dollar) and the Naira (relative to the US dollar) for the presence of volatility. It also examines the effect of the exchange rate returns on the performance of their respective stock market. While it was found that the returns of the South African Rand was volatile, the Nigerian naira was not. Estimating the effect of exchange rate returns and crude oil price on the stock market indices of both countries showed that exchange rate return have a positive effect on the performance of the Nigerian stock exchange thus, c

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Kabari, Ledisi Giok, and Believe B. Nwamae. "Stochastic Analysis of the Exchange Rate of Naira, YEN, GBP, CFA and FRANC in Relation to US Dollar and Predicting the Naira for the Year 2025." European Journal of Engineering Research and Science 4, no. 6 (2019): 15–18. http://dx.doi.org/10.24018/ejers.2019.4.6.1353.

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In Nigeria today, constant fluctuations of exchange rate or volatility is of great importance in one way or the other to the general public because its fluctuation has an effect on the economy. The objectives of the paper were to investigate the recent changes in the naira currency and other world currencies if there appear to be any relationship. Data was obtained from daily exchange rate of different countries’ currencies from 12/10/2005 and 2/11/2018 with 3,190 observations obtainable from the Data and statistics publication of the Central Bank of Nigeria. The study investigates the past re

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Kabari, Ledisi Giok, and Believe B. Nwamae. "Stochastic Analysis of the Exchange Rate of Naira, YEN, GBP, CFA and FRANC in Relation to US Dollar and Predicting the Naira for the Year 2025." European Journal of Engineering and Technology Research 4, no. 6 (2019): 15–18. http://dx.doi.org/10.24018/ejeng.2019.4.6.1353.

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In Nigeria today, constant fluctuations of exchange rate or volatility is of great importance in one way or the other to the general public because its fluctuation has an effect on the economy. The objectives of the paper were to investigate the recent changes in the naira currency and other world currencies if there appear to be any relationship. Data was obtained from daily exchange rate of different countries’ currencies from 12/10/2005 and 2/11/2018 with 3,190 observations obtainable from the Data and statistics publication of the Central Bank of Nigeria. The study investigates the past re

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John Olu, Dr Josiah, Prof Ezaal Okowa, and Prof Alwell Nteegah. "Oil Price and Exchange Rate Volatility: Implication on Trade Transactions in Nigeria." International Journal of Research and Scientific Innovation XII, no. IV (2025): 1273–86. https://doi.org/10.51244/ijrsi.2025.12040106.

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This study investigates the relationship between oil price, exchange rate volatility, and trade transactions in Nigeria for the period covering from 2008 to 2024. The study employed monthly frequency data from the Central Bank of Nigeria (CBN) Statistical Bulletin, National Bureau of Statistics (NBS), and the World Bank databases to investigate the oil price-exchange rate volatility-trade nexus over the period of January 2008 to October 2024. We constructed and estimated a GARCH (1,1) model to derive the exchange rate volatility series. The unit root test and bounds test were employed to deter

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S.D., Zira, and Adejumo O.A. "The Regime Examination of Nigeria Exchange Rate Volatility: Evidence from Markov Regime Switching Autoregressive Approach." African Journal of Accounting and Financial Research 6, no. 2 (2023): 71–91. http://dx.doi.org/10.52589/ajafr-7mhoeggm.

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Inarguably, the escalation in dollar rates and the price instability in the Nigerian economy underwent significant structural and institutional changes. In assessing the importance of understanding exchange rates, it becomes imperative to build reliable models for predicting the volatility of exchange rates of home currency. Hence, this study aims to model the Nigerian exchange rate volatility using the Markov regime-switching model. The study analyses the Nigerian exchange rate returns in two and three distinct regimes by employing the Markov regime-switching autoregressive (MS-AR) model with

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Kuhe, D. A., J. T. Aarga, and I. T. Ayigege. "Modeling Volatility of Exchange Rates Returns in the Nigerian Foreign Exchange Market in the Presence of Non-Gaussian Errors." NIGERIAN ANNALS OF PURE AND APPLIED SCIENCES 1 (March 14, 2019): 246–58. http://dx.doi.org/10.46912/napas.31.

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This study investigates volatility behaviour of exchange rates returns of Naira against CFA, Euro, Great British Pounds, US Dollar, West African Unit of Account (WAUA) and Japanese Yen in Nigeria using historical volatility approach as well as symmetric and asymmetric Autoregressive Conditional Heteroskedasticity (GARCH) models in the presence of non-Gaussian errors. The study utilizes daily quotations of these exchange rates from 12/11/2001 to 04/13/2018 making a total of 4008 observations each. Historical (annualized) volatility approach as well as symmetric GARCH (1,1) and asymmetric EGARCH

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Meriem, G., and B. Soumia. "The impact of conversion rate fluctuations on emerging financial markets: an econometric study for the period (2013–2024)." Ekonomìka ta upravlìnnâ APK, no. 1(197) (May 22, 2025): 166–79. https://doi.org/10.33245/2310-9262-2025-197-1-166-179.

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This study investigates the impact of exchange rate fluctuations, specifically those affecting the Nigerian Naira against the US Dollar, on the performance of the Nigerian financial market between 2013 and 2024. Given Nigeria’s heavy reliance on oil exports and its exposure to external macroeconomic shocks, understanding the implications of currency volatility on market behavior is crucial. This paper utilizes an Autoregressive Distributed Lag (ARDL) model to capture both shortterm and long-term dynamics, incorporating inflation and interest rates as control variables. Monthly time-series data

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Kuhe, David Adugh, and Peter Teryila Agaigbe. "Modelling Volatility of Naira/US Dollar Exchange Rate Dynamics Using Conditional Heteroskedasticity Models with Non-Gaussian Errors." Asian Research Journal of Mathematics 11, no. 3 (2018): 1–13. http://dx.doi.org/10.9734/arjom/2018/39860.

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Nwagu, Umunna, Charles Chinonso Edeh, and Henry Onoriode. "Oil Price Fluctuation And Exchange Rate In Nigeria: Is There A Volatility Transmission Effect." Journal of Advanced Research in Economics and Administrative Sciences 4, no. 4 (2023): 48–59. http://dx.doi.org/10.47631/jareas.v4i4.640.

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Over the period 1980-2022, we examined the transmission effect of oil prices on Nigeria's exchange rate. E-GARCH (Exponential GARCH) model is employed in this study. We used Augmented Dickey Fuller to determine a unit root, integrating exchange rates, crude oil prices, external reserves, GDP, inflation, and interest rates to one I(1) and zero I(0). We used Johansen Co-integration to determine long-term relationships. Interest rates, inflation, and crude oil prices all correlated positively with each other. A statistically insignificant result is shown by the variance equation, indicating there

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