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dc.contributor.authorEmenike, Kalu O.
dc.date.accessioned2017-10-03T12:01:09Z
dc.date.available2017-10-03T12:01:09Z
dc.identifier.issn1822-8011
dc.identifier.urihttps://repository.mruni.eu/handle/007/14744
dc.language.isoenen
dc.publisherVilnius: Mykolo Romerio universitetasen
dc.rightsinfo:eu-repo/semantics/openAccess
dc.titleComparative analysis of bureaux de change and official exchange rates volatility in Nigeriaen
dc.typeArticleen
dc.description.abstract-ltExchange rates stability is an important monetary policy target. Hence monetary authorities aim at avoiding wide diver- gence between the official exchange rate and parallel exchange rates in most developing economies. This paper employs GARCH (1,1) and GJR-GARCH (1,1) models to estimate and compare volatilities of official, interbank, and bureaux de change markets Naira/US$ exchange rates for the January 1995–December 2014 period. The results of the study show that the volatilities of interbank and bureaux de change exchange rates in the previous periods influence current volatility of ex- change rates. The results also show evidence of volatility clustering in the interbank market and bureaux de change Naira/US$ exchange rates. Sum of the ARCH and GARCH coefficients indicates evidence of volatility persistence in the exchange rates returns series. Comparative analysis between the exchange rates volatilities shows that the magnitude of impact of volatil- ity shocks on current volatility as well as volatility clustering are greater in bureaux de change than in other exchange rates in Nigeria. The asymmetric parameter indicates that exchange rates depreciation tends to produce higher volatility in the immediate future than appreciation of the same magnitude in both the interbank and bureaux de change markets in Nigeria.en
dc.doi10.1016/j.intele.2016.04.001en
dc.editorial.boardYraen
dc.identifier.aleph-en
dc.publication.sourceIntelektinė ekonomika. ISSN 1822-8011, 2016, T. 10, Nr. 1en
dc.subject.facultyKitasen
dc.subject.keywordVolatility comparisonen
dc.subject.keywordExchange ratesen
dc.subject.keywordCureaux de changeen
dc.subject.publicationtypeS4en
dc.subject.sciencedirection04S - Ekonomikaen


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