Asymmetric Modeling of NairaYuan Exchange Rate with Structural Breaks

Abstract

This study investigates the impact of structural breaks on the Naira–Yuan askrate and assesses the stability and volatility (asymmetry) of the series using daily data spanning January 2015 to July 2025. Stationarity of the series was examined using the Augmented Dickey–Fuller (ADF) test, while symmetric models incorporating five structural breaks were employed to estimate the stabilized series and conditional variations in the Naira–Yuan exchange rate. Model performance was evaluated using model selection criteria. The study also provides an indepth discussion of exchange rate dynamics from the perspectives of persistence and leverage effects during the period under review. The results demonstrate that the Glosten–Jagannathan–Runkle GARCH (GJRARCH) model with five structural breaks outperforms earlier asymmetric models, achieving lower values for the Akaike Information Criterion (AIC), Bayesian Information Criterion (BIC), and standard error.