GARCH - M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is …This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the … paper employed GARCH model and its variants (GARCH-M, EGARCH and TGARCH) with daily, monthly and quarterly data. The …

volatility periods in both of them, separately. From a multivariate perspective, we do not observe a significant effect between …

link between oil shocks and the volatility of economic growth. A new measure of oil shocks is developed and shown to be … volatility to oil price changes. Uncertainty about future growth is considerably lower compared to a benchmark AR(1) model when …

. In so doing, we employ GARCH-M and ARCH-M specifications of the process describing output growth rate and its volatility … volatility over the period 1947 to 2006. First, we consider the possible effects of structural change in the volatility process … with and without a one-time structural break in volatility. Second, our data analyses and empirical results suggest no …