This paper examines the macroeconomic effects of exogenous oil price shock in Nigeria. The paper additionally investigates the symmetric effects of oil price shock and the persistence and/or transitory nature of the shock. To achieve these objectives, the Generalised autoregressive conditional heteroskedasticity (GARCH), Component generalised autoregressive conditional heteroskedasticity (CGARCH) and Exponential generalized autoregressive conditional heteroskedasticity (EGARCH) were employed to estimate the various equations. The results showed that oil price volatility has significant positive effect on exchange rate, foreign external reserves, government revenue, and capital importation. The results also revealed symmetric and persistent effect of oil shock in Nigeria. Based on the results, the paper made recommendations for ameliorating and/or insulating Nigeria from the vulnerabilities of oil price shocks.