With the oil price at low level in Nigeria, exchange rate volatility has been manifested at different exchange rate regimes in Nigeria, the study look at the relationship between exchange rate volatility and Macroeconomics variables in Nigeria between 1985-2014. Secondary data were collected from Central Bank Statistical Bulletin, employing Johansen Error Correction Model (ECM) Technique to estimate the collected time-series data and General Conditional Heteroskedasticity (GARCH) to measure volatility. It is therefore observed and recommended that the Nigeria government should employ greater policy sensitivity towards the openness of the economy so that the capital flows that come through foreign direct investment (FDI) will be beneficial to the economy as a whole.
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