Measure of Volatility and Its Forecasting: Evidence from Naira / Dollar Exchange Rate

In the last five decades, Box Jenkins methodology has been in existence to model univariate time series data but fails or limitations on modeling volatility. Most financial do exhibit heavy tail and thick distribution, this effect various parametric semi-parametric non –linear models have proposed two three decades ago capture However, research entails measuring volatility its forecasting using exchange rate annual over period from 1981 2020 (wide periodicity). The was transformed return, modeled it. It found out that GARCH (1,2) reveals continuous for short while best predict based evidence measurement tool; RMSE, MAE, MAPE among other extensions of models; EGARCH TGARCH. (1, 4) captures asymmetry revealing negative shocks will persistently an naira/dollar rate.