IJEBMR
ISSN: 2456-7760

Title:
MODELING OF RETURNS AND VOLATILITY TRANSMISSION BETWEEN OIL PRICE AND EXCHANGE RATE MOVEMENTS IN NIGERIA

Authors:
Ochoche Abraham, Onomeabure C. Ordia, Suleiman Ogunyinka, Nigeria

Abstract:
This study attempts to investigate the existence and nature of relationship between oil price and exchange rate in Nigeria using daily time series data spanning July 01, 2016 to July 02, 2018. The relationship was modelled within a generalized autoregressive conditional hetero skedasti city (GARCH) and extended GARCH (EGARCH) frameworks. The results from both models show an inverse relationship between oil price and exchange rate in Nigeria. That is an increase in crude oil prices leads to a decrease (appreciation of the Naira) in the Naira/US$ exchange rate and vice versa.

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