Aako, O. L. and Alabi, N. O. (2019) MODELING THE VOLATILITY OF NIGERIAN STOCK MARKET USING GARCH FAMILY MODELS. In: 4th National Development Conference of The School of Pure and Applied Science, 2nd – 5th December, 2019, The Federal Polytechnic, Ilaro.
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Abstract
Stock market contributes to the growth process of any economy. However, volatility in stock market can generate a rise in cost of capital which is capable of affecting economic growth negatively. Investors, academics and regulators are interested in understanding the nature of volatility. In this study, the effects of volatility clustering and leverage of Nigerian stock market was investigated using GARCH models. All-share index monthly data collected from CBN office (OkeMosun, Abeokuta) which covers the period of ten year data (1986- 2017) was modeled using GARCH, EGARCH and TARCH models. The best fitted model for All-share index is the model with the lowest Akaike Information Criterion (AIC) and Bayesian Information Criterion (SIC). It was found that the E-GARCH model is the best model with the lowest AIC and BIC. The model shows that there is volatility clustering and existences of leverage effect in Nigerian Stock market All-share Index.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Subjects: | Q Science > Q Science (General) |
| Divisions: | Faculty of Engineering, Science and Mathematics > School of Chemistry |
| Depositing User: | Mr Taiwo Egbeyemi |
| Date Deposited: | 05 Jun 2020 19:29 |
| Last Modified: | 05 Jun 2020 19:29 |
| URI: | http://eprints.federalpolyilaro.edu.ng/id/eprint/381 |
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