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Exchange Rate Volatility and Stock Market Performance in Nigeria: Evidence from EGARCH and TGARCH Models

This study examines the effect of exchange rate volatility on stock market performance in Nigeria over the period 2010–2025 using monthly data. Exchange rate volatility is modelled using asymmetric Generalized Autoregressive Conditional Heteroskedasticity (EGARCH and TGARCH) techniques, while its effect on stock market returns is analysed within a multivariate regression framework including oil prices and inflation. The results show strong persistence in exchange rate volatility, with the EGARCH model yielding a GARCH coefficient of 0.9754 (p < 0.001) and the TGARCH model confirming significan…

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Source	OpenAlex research
Collection	International records
Kind	Document
Publisher	International Journal of Research and Innovation in Social Science
Date	2026-01-01
Type	article
Details	openalex authorships.countries:NG,primary topic.subfield.id:3320\|3321\|3308\|1202\|3303\|3312\|2002\|2000\|2003 + local /\bnige
Found at	https://doi.org/10.47772/ijriss.2026.100600655
Archived copy	Look it up in the Wayback Machine
Record ID	`openalex:W7167339957`

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Exchange Rate Volatility and Stock Market Performance in Nigeria: Evidence from EGARCH and TGARCH Models. OpenAlex research, 2026. Vero Archive, record openalex:W7167339957.