This study investigates the dynamics between exchange rate volatility and foreign portfolio investment in Nigeria. This study is germane mostly now that exchange rate fluctuation is assumed to have affected all facets of economic activities in Nigeria. To achieve this, monthly data are obtained from Central Bank of Nigeria Statistical Bulletin, 2022, and analyzed by employing EGARCH and other finametric tools. The empirical results of the analysis found a significant relationship between exchange rate movements and foreign direct investment in Nigeria within the scope of the study. It was also found that shocks from exchange rate to stock prices are durable, implying that shocks from exchange rate to foreign portfolio investment last a long period before their effects fade. Therefore, the researchers recommend among others that sound foreign exchange rate management policies are designed and implemented vigorously to curb exchange rate volatility.