In this study, the impact of exchange rate volatility on Nigerian exports to Eurozone countries is investigated. Monthly export data from January 1999 to December 2016 was used. This study utilizes the bounds test approach to cointegration to analyze how exchange rate volatility exerts influence on Nigeria’s export to the Euro Area. GARCH (1, 1) is employed to measure the volatility of the Naira/dollar exchange rate. In the considered model, Nigeria’s export to the Euro Area is taken as the dependent variable, whilst the independent variables include income of the Euro Area, price and the volatility measure Given that the variables are a combination of I (1) upper bound and I (0),(lower bound the bounds test is used to test for cointegration. After confirming the existence of cointegration, the short-run and long-run coefficients are estimated. The shortrun result shows that price and volatility have negative and positive lagged effects on Nigeria’s export, respectively. In the long run, coefficients of price and volatility are significantly positive. The income of the Euro Area has no significant impact on Nigeria’s exports in both the short and long run. The study recommends that Government subsidies and a floating exchange rate system are implemented