Exchange rate and inflation volatility and stock prices volatility: Evidence from Nigeria, 1986-2012
Exchange rate and inflation volatility and stock prices volatility: Evidence from Nigeria, 1986-2012
This study investigated the relationship between exchange rate and inflation volatility and stock prices volatility in Nigeria, using time series quarterly data from 1986Q1-2012Q4. The volatilities of exchange rate and inflation in this study were calculated using standard GARCH(1,1) models. The relationship between exchange rate, inflation volatility and stock prices volatility was examined using GARCH(1,1)-S models of an extended GARCH-X models. The findings of the study show that there is a n