Please use this identifier to cite or link to this item: http://localhost:8080/xmlui/handle/123456789/1066
Full metadata record
DC FieldValueLanguage
dc.contributor.authorOhwadua, Emmanuel-
dc.date.accessioned2024-05-09T07:57:28Z-
dc.date.available2024-05-09T07:57:28Z-
dc.date.issued2023-07-28-
dc.identifier.citationOhwadua, E. O., & Akanji, A. R. (2023). Dual Foreign Exchange Rate in Nigeria: Stylised Facts and Volatility Modelling. Journal of Advances in Mathematics and Computer Science, 38(9), 81–97. https://doi.org/10.9734/jamcs/2023/v38i91806en_US
dc.identifier.issn2456-9968-
dc.identifier.urihttp://localhost:8080/xmlui/handle/123456789/1066-
dc.description.abstractThis study examines the dual dynamics of Interbank Foreign Exchange Market (IFEM) and Bureau De Change (BDC) Market rates between the Nigerian Naira and the US Dollar over a ten-year period from 2012 to 2022. We investigate the dual foreign exchange rates – Interbank Foreign Exchange Market (IFEM) and Bureau De Change (BDC) Market rates between the Nigerian Naira and the US Dollar for ten years from 2012 to 2022. By employing MGARCH (multivariate generalized autoregressive conditional heteroscedasticity), we analyse the volatility of the naira in the dual foreign exchange windows and examine the stylised facts as it affects forex management in Nigeria. Our findings confirm and extend the results of previous research, emphasizing the role of market segmentation, information asymmetry, autocorrelation, stationarity, volatility clustering, correlation dynamics, and spillover effects in the foreign exchange markets.en_US
dc.language.isoenen_US
dc.publisherJournal of Advances in Mathematics and Computer Scienceen_US
dc.relation.ispartofseriesVolume 38, Issue 9;-
dc.relation.ispartofseries;81-97-
dc.subjectBureau De Change (BDC) market; Interbank Foreign Exchange market (IFEM); MGARCH (multivariate generalized autoregressive conditional heteroscedasticity); volatility.en_US
dc.titleDual Foreign Exchange Rate in Nigeria: Stylised Facts and Volatility Modellingen_US
dc.typeArticleen_US
Appears in Collections:Research Articles

Files in This Item:
File Description SizeFormat 
Ohwadua3892023JAMCS102851.pdfMain Article1.02 MBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.