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Bivariate volatility modelling of the impact of crude oil prices on Nigeria exchange rate

This study conducts a bivariate volatility analysis of crude oil prices and Nigeria’s exchange rate using data from 2010 to 2024 (180 observations). It employs descriptive statistics, cross-correlation, Granger causality, Johansen cointegration tests, and both VAR and DBEKK MGARCH frameworks to capture dynamic interactions and volatility persistence. The VAR results show a positive effect of crude oil prices on the exchange rate (0.1574, p = 0.0368) and mean reversion in the exchange rate (−0.158, p = 0.0344), with limited short-run causality at lag 1. DBEKK MGARCH estimates reveal pronounced …

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Source	OpenAlex research
Collection	International records
Kind	Document
Publisher	International Journal of Statistics and Applied Mathematics
Date	2026-03-01
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/10.22271/maths.2026.v11.i3a.2269
Archived copy	Look it up in the Wayback Machine
Record ID	`openalex:W7134232217`

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Bivariate volatility modelling of the impact of crude oil prices on Nigeria exchange rate. OpenAlex research, 2026. Vero Archive, record openalex:W7134232217.