Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/191693
Authors: 
David, Reuben O.
Dikko, Hussaini G.
Gulumbe, Shehu U.
Year of Publication: 
2016
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Volume:] 07 [Year:] 2016 [Issue:] 2 [Pages:] 159-187
Abstract: 
The exchange rate between the Naira and other currencies has continued to witness variability with depreciation. This variability makes it difficult to predict returns. Against this background, this paper examines the naira exchange rate vis-a-vis four other currencies. The impact of exogenous variables in modelling volatility is considered using both the GARCH (1,1) and its asymmetric variants. Three of the four returns series showed heteroscedasticity. The results of the fitted models indicate that the majority of the parameters are significant and that volatility is quite persistent. Furthermore, the results of the asymmetric model indicate different impacts for both negative and positive shocks and shows superior forecasting performance to the symmetric GARCH.
Subjects: 
Exchange Rate
Volatility
Leverage Effects
Exogenous Variables
Persistence
Heteroscedasticity
JEL: 
C52
C87
E44
E58
F31
Document Type: 
Article

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