The adoption of a flexible exchange rate system since 1986 in Nigeria has made the country witnessed varying\nrate of the naira vis-� -vis the U.S dollar. This paper examines exchange rate volatility with ARCH model and its various\nextensions (GARCH, TGARCH, and EGARCH) using quarterly exchange rate series from 1986q1 to 2014q4. The\nimpact of exchange rate volatility on non-oil exports was also examined using Error Correction Model (ECM) with two\ndifferent measures of volatility. The results obtained confirm the existence of exchange rate volatility and also found a\nsignificant negative effect on non-oil export performance in Nigeria. Therefore, the Nigerian government should ensure\nan appropriate policy mix that not only ensures a stable and realistic exchange rate but also conducive atmosphere for\nproduction and exportation.
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