The purpose of this research work is to empirically investigate the determinants of exchange rate volatility in Nigeria. Using quarterly time series data from 1981 to 2019.Augumented Dickey- fuller(ADF) stationarity test was used, ARCH and GARCH(1.1) model, long-run and short-run relationship between variables has been investigated using johansen cointegration and Vector Error Correction(VECM) .The model confirmed the existence of short-run and long-run relationship between exchange rate volatility and macro-economic variables such as Reserve,Inflation,GDP,MCAP,and Trade balance,.The Error Correction term is statistically significant in each of the cointegrating equations and is negative the result revealed that change in money supply is positively related to changes in exchange rate volatility equally revealed a short-run effect between exchange rate volatility with Reserve,govt expenditure,MCAP, and trade balance to be positive, and positive short-run relationship between money supply and inflation. The GARCH (1.1) results show that macro-economic variables such as GDP,INFL and MCAP had negative values and significant impact on mean value of exchange rate volatility except trade balance which is statistically in significant ,this shows that at least six of the seven variables have significant impact on exchange rate volatility. This research work therefore, recommends for structural reforms, diversification of the economy, exchange rate policy reforms among other things.