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This book analyses the joint dynamics of the Nigerian foreign exchange and stock exchange markets. It employs four distinct Multivariate GARCH models, namely; BEKK-GARCH, Diagonal-GARCH, CCC-GARCH and DCC-GARCH, to examine the dynamic relationship between the two financial markets. These methods allow to examine the direction of returns and volatility spillovers between these financial markets. The results are robust across the models, and diagnostic checks are carried out to select the best fit model for the analyses. The result of this study will be very useful for graduate students who may be interested in understanding the basic Multivariate GARCH framework, financial investors who may be interested in diversifying their portfolio investment with Nigerian stocks, and Central Bank of Nigeria who may be interested in controlling in the operations of foreign exchange market in Nigeria.