This study aimed at modelling the daily Naira/Pound exchange rate volatility with ARIMA and GARCH type models with daily exchange rate ranging from June 2016 to July 2019 is obtained from Central Bank of Nigeria. The stationarity of the data series was checked using graphical analysis, Augmented Dickey Fuller (ADF) and Phillips-Perron (PP) tests, it was found out that the exchange rate series is not stationary, the return of the series was obtained and found out to be stationary. It was observed that ARIMA (2, 1, 1) and GARCH (1,1) are the optimal with the highest log-likelihood and lowest AIC and BIC.
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