indicated that the GARCH (1,1) model successfully explained the volatility in the exchange rate. … currencies and financial assets of the countries. These sudden movements are called volatility. Sudden price changes in financial … accurate determination of volatility. Since the changes in asset prices are not linear, volatilities in prices are determined …

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …