Asymmetric Shocks In Oil Price: An Exponential Generalized Autoregressive Conditional Heteroskedasticity Approach

This study empirically examined the asymmetric oil price shocks in Nigeria from 1981q1-2019q4 using Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. The EGARCH model was employed to investigate by obtaining conditional variance estimated results. Empirical results revealed a weak indication for leverage effect and strong effect. positive egarch (L2) coefficient means that unanticipated increases crude Oil are more profitable than decreases of Oil. Also, asymmetry Nigeria. In specific terms, (1.8276) an observed tendency shock be higher approximately 1.83 per cent declining prices market rising markets. Based on above, recommended appropriate export diversification policies reduce dependency exports as major (revenue) economy. will offset such COVID-19 pandemic price, especially decrease international market. Key Words: Price Shocks, Asymmetry, EGARCH,