Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 3 of 3
Full-Text Articles in Business
Modelling Volatility Of The Exchange Rate Of The Naira To Major Currencies, Reuben O. David, Hussaini G. Dikko, Shehu U. Gulumbe
Modelling Volatility Of The Exchange Rate Of The Naira To Major Currencies, Reuben O. David, Hussaini G. Dikko, Shehu U. Gulumbe
CBN Journal of Applied Statistics (JAS)
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 …
Analysing Oil Price- Macroeconomic Volatility In Nigeria, Alhassan Abdulkareem, Kilishi A. Abdulkareem
Analysing Oil Price- Macroeconomic Volatility In Nigeria, Alhassan Abdulkareem, Kilishi A. Abdulkareem
CBN Journal of Applied Statistics (JAS)
This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the paper employed GARCH model and its variants (GARCH-M, EGARCH and TGARCH) with daily, monthly and quarterly data. The findings reveal that: all the macroeconomic variables considered (real gross domestic product, interest rate, exchange rate and oil price) are highly volatile; the asymmetric models (TGARCH and EGARCH) outperform the symmetric models (GARCH (1 1) and GARCH – M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is vulnerable to both internal shocks (interest rate volatility, real …
Exchange Rate Policy And Falling Crude Oil Prices: Effect On The Nigerian Stock Market, Terfa W. Abraham
Exchange Rate Policy And Falling Crude Oil Prices: Effect On The Nigerian Stock Market, Terfa W. Abraham
CBN Journal of Applied Statistics (JAS)
This paper examines the effect of crude oil price movement on the Nigerian stock market and the role of exchange rate as a plausible countercyclical policy tool. Daily data on All Share Index of the Nigerian stock market, crude oil prices and exchange rate, were collected for two periods: 2008-2009 and 2012-2015. Results from the Autoregressive Distributed Lag (ADL) model show that oil prices are positively related with the performance of the Nigerian stock market thus would drag the market down in times of turmoil. Howbeit, devaluation of the naira is found to be effective in cushioning the effect of …