eng Science and Education Publishing International Journal of Econometrics and Financial Management 2374-2038 2017-11-22 5 2 69 76 10.12691/ijefm-5-2-6 IJEFM2017526 article Joseph Tarza Sokpo 1 Paul Terhemba Iorember piorember1990@gmail.com 1 Terzungwe Usar 2 Benue State University Makurdi, Nigeria University of Ibadan, Ibadan-Nigeria The paper investigated the effect of inflation on stock market returns on the Nigerian stock exchange market, employing a volatility modeling approach. Using monthly data on stock market returns and consumer price index inflation rate, the paper employed GARCH and E-GARCH volatility modeling techniques for analysis. The study found that CPI inflation is not an important variable in explaining stock market return volatility in Nigeria. The E-GARCH model did not find existence of asymmetry in the stock return series; that is good news and bad news have identical impact on stock returns in Nigeria. The GARCH model show high persistence in the stock returns series, though a shock to stock returns has only a temporary impact. http://pubs.sciepub.com/ijefm/5/2/6/ijefm-5-2-6.pdf inflation stock market returns Exponential Generalized Autoregressive Conditional Heteroskedasticity (E-GARCH)