The persistent naira instability and devaluation in the foreign exchange market has become a concern in many quarters, as the negative effect is being felt in the high cost of goods and services in Nigeria. Therefore, this study is concerned with the examination of the impact of CBN intervention on exchange rate volatility in Nigeria. The monthly time series data on naira\1 US dollar used covered the period of 1981M1 to 2022M12.statistical tools such as order of integration, volatility measure such as ARCH and GARCH, regression and maximum likelihood method of estimation were adopted. The order of integration result specifies that the percentage log difference of the exchange rate is integrated order zero. The comparative study of the better measure of volatility between ARCH and GARCH using BIC indicates that GARCH(2, 2) is most appropriate. The results also show that interventions such as Inter-bank Foreign Exchange Market issued which started on June 15, 2016 such that Naira Settled Over the Counter (OTC) and Regulation for the Transaction of Renminbi” released on June 7, 2018 and the renewal of the Bilateral Swap Currency Agreement (BSCA) with the Peoples Bank of China (PBoC) have no effect on the exchange rate and its volatility as the p-values are not significant both in the mean Equation and conditional variance equation. Therefore, the CBN should re-evaluate their intervention policies so as to reduce the vulnerability of naira in the mist of foreign currency exchange.