This paper investigated the effects of Naira/Dollar exchange rate volatility on medium and high income residential real estate investment returns in Nigeria using EG ARCH model. It used time series data for an 11 year period between 2000 and 2010. The findings of the study reveal that exchange rate volatility has a significant negative effect on medium income and high income residential real estate investment returns in Nigeria within the study period. Magnitude of volatility and volatility persistence measured as P and a respectively were found to be low and insignificant at 5% level of testing. Leverage effect measured as y was insignificant. However being insignificant means that they were not pronounced within the study period.
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