BUREAU CHANGE OF DAILY EXCHANGE RATE BETWEEN THE UNITED STATES DOLLAR AND NIGERIAN NAIRA

Exchange rates are important financial problem that receive attention globally. This study investigated the bureau de change of daily dollar/naira exchange rate using GARCH (1, 1), GJR-GARCH (I, 1), TGRACH (1, 1)and TS-GARCH (1, 1) bureau by using daily data over the period of June 2015 to July 2016. The aim of the study is to determine bureau de change of daily exchange rate between United States dollar and Nigeria naira. Theresults from the entire bureau show that bureau is persistent (i.e. exceed 1) indicating GARCH (I, 1), GJR-GARCH (1, 1), and TS-GARCH (I, I) bureau variances are not stationary but for TGARCH (1, 1) model (i.e.below 1) indicating the variance Is stationary. The GJR-GARCH (I, 1) and TGARCH (1, I) bureau show the existence of statistically significant asymmetry effect. The TGARCH (L I) and TS-GARCH (1, 1) bureau arefound to be the best bureau because they have maximum likelihood and lower Akaike and Sckwarz information criteria

Keywords:

Exchange rate , ARCH , GARCH , GJR-GARCH , TGARCH , TS-GARCH , Model Evaluation Criteria , Bureau , Nigeria