The poor girl. That's so sad.
I have a friend who's granddaughter was going thur something like that. The GD ended up living w my friend and then they (my freind and the girl's aunt and uncle) slowly transitioned(sp) her into a good schedule and then into living w her aunt and uncle who are now her adoptive(sp?) parents. They were very honest, but tried to keep it rated pg becasue she was so young, about the same age as you niece. nearly 5 yrs later my friend's GD is doing great.
I think that I would explain to her that there are just some people that are just going to do what they want and not always think or care about who they hurt. There may come a day that her dad will change, and that day may not come until she's all grown up. That day may also never come, because he may never change his mind.
You can't really answer for him why he's doing/saying the things that he says so if she ask why, while she's still young, I whould just let her know that you can't answer that. There are loads of reasons that he may have, but you are not him so you can not answer that for him. As she gets older then I think it's ok to give her your thoughts on why he's "leaving".
I think that I would also let her know that yoiu know how much she must be hurting inside, but acting out is not the right way to handle the pain. Let her know it's ok to cry, and to talk and to be mad and once in a while it's ok to yell. Suggest to her to write about how she's feeling or to draw about. It's a good way to get those feelings out. If you can tell shes upset about it and she's trying to talk to you and she's about to just break down and cry, just hug her close and tell her that its ok to cry and let her know that one day her heart will heal.
If she starts to worry about you leaving her then just tell her that you are not her father.
My SD has a hard time talking about her feelings so I picked up a book that is published by American Girl and it's geared to girls about the ages of 7 to 12 and it's about your feelings. All the different types of things you cna feel and why you may be feeling that way and how to cope. It's a good book. So maybe you can get that for her (I found it at Target) and when she's having one of those days or moments then go thur the book w her and just help her out.
And I do agree w that last poster about giving her lots and lots of hugs and letting her know that you love her. I sometimes ask my kids if they know why I love them. If they give me an answer like "because I share my toys" I tell them that that is something that I love ABOUT them but NOT WHY I lvoe them. Then they ask me why and I answer "I love you because you are YOU."
Good luck and don't forget all that love and hugs that she needs.