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Full-Text Articles in Business
Measuring Dynamic Return And Volatility Connectedness Among Nigerian Financial Markets, Elias A. Udeaja
Measuring Dynamic Return And Volatility Connectedness Among Nigerian Financial Markets, Elias A. Udeaja
CBN Journal of Applied Statistics (JAS)
This study employs the connectedness measure of Diebold and Yilmaz (2012, 2014) to examine the intensity of connectedness among the Nigerian financial markets for the period January 2000 to December 2018. The study used all shares index, Treasury bill rate and Naira/USD official exchange rate to measure stock market, money market and exchange rate market, respectively. The study found connectedness among the Nigerian financial markets to be highly time-varying and appear to be higher during the period of high depreciation of the naira which coincides with the period of falling oil prices and domestic economic meltdown of 2014 and 2016, …
On The Efficiency Of Stock Markets: A Case Of Selected Opec Member Countries, Ebenezer A. Olubiyi, Peter O. Olopade
On The Efficiency Of Stock Markets: A Case Of Selected Opec Member Countries, Ebenezer A. Olubiyi, Peter O. Olopade
CBN Journal of Applied Statistics (JAS)
The study investigates the stock market efficiency of selected OPEC member countries within the context of random walk hypothesis and volatility approaches using monthly data on stock market indices from January, 2005 to April, 2016. Parametric (variance ratio: homoskedastic and heteroskedastic martingale), nonparametric (the Wright ranks and scores) tests and ARCHtype estimation are performed. Results of both parametric and nonparametric tests indicate that only Qatar’s stock market is weak-form efficient. The volatility results suggest that monthly stock returns of OPEC countries are volatile, with Qatar being most volatile and shocks to volatility of stock returns are asymmetric. The implications of …
Modeling Volatility Persistence And Asymmetry With Exogenous Breaks In The Nigerian Stock Returns, David A. Kuhe
Modeling Volatility Persistence And Asymmetry With Exogenous Breaks In The Nigerian Stock Returns, David A. Kuhe
CBN Journal of Applied Statistics (JAS)
This study examines the volatility persistence and asymmetry with exogenous breaks in Nigerian stock market. The study utilizes daily closing quotations of stock prices from the Nigerian stock exchange for the period 3rd July, 1999 to 12th June, 2017. Standard symmetric GARCH (1,1), asymmetric EGARCH (1,1) and GJR-GARCH (1,1) models with and without structural breaks were employed to measure shocks persistence and leverage effects in the presence of varying distributional assumptions. The empirical findings showed high persistence of shocks in the return series for the estimated models. However, the study found significant reduction in shocks persistence when structural breaks were …
Determinants Of Fdi And Fpi Volatility: An E-Garch Approach, Philip I. Nwosa, Omolade Adeleke
Determinants Of Fdi And Fpi Volatility: An E-Garch Approach, Philip I. Nwosa, Omolade Adeleke
CBN Journal of Applied Statistics (JAS)
This study examined the determinants of Foreign Direct Investment (FDI) and Foreign Portfolio Investment (FPI) volatility in Nigeria. The study used annual data covering the periods 1986 to 2016 and the EGARCH approach was employed. The study observed that trade openness and world GDP were the significant determinants of FDI volatility, while domestic interest rate and stock market capitalization were significant determinants of FPI volatility in Nigeria. Other variables were insignificant in influencing volatility in FDI and FPI. Consequently, the study recommends the need for the prudent management of these determinants (with particular reference to indigenous variables) to ensure reduced …
Forecasting The Volatilities Of The Nigeria Stock Market Prices, Sikiru O. Ibrahim
Forecasting The Volatilities Of The Nigeria Stock Market Prices, Sikiru O. Ibrahim
CBN Journal of Applied Statistics (JAS)
The objective of this work is to assess and forecast the volatilities of prices on the Nigeria Stock Exchange. The ARCH family (ARCH, GARCH, TGARCH, EGARCH and PGARCH) and ARIMA models are used to assess and forecast volatilities in prices on the Nigeria stock market. The EGARCH model is found to be the most efficient for forecasting volatilities and has the capability to show the asymmetric effect. The assessment of volatilities in prices for 1985 to 2014 shows clustering, over the years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the …
An Application Of Asymmetric Garch Models On Volatility Of Banks Equity In Nigeria’S Stock Market, Omorogbe J. Asemota, Uchenna C. Ekejiuba
An Application Of Asymmetric Garch Models On Volatility Of Banks Equity In Nigeria’S Stock Market, Omorogbe J. Asemota, Uchenna C. Ekejiuba
CBN Journal of Applied Statistics (JAS)
This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated models using standard criteria, EGARCH (1, 1) and CGARCH (1, 1) model in Student’s t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered for robustness of results. We …
Modelling Volatility Of The Exchange Rate Of The Naira To Major Currencies, Reuben O. David, Hussaini G. Dikko, Shehu U. Gulumbe
Modelling Volatility Of The Exchange Rate Of The Naira To Major Currencies, Reuben O. David, Hussaini G. Dikko, Shehu U. Gulumbe
CBN Journal of Applied Statistics (JAS)
The exchange rate between the Naira and other currencies has continued to witness variability with depreciation. This variability makes it difficult to predict returns. Against this background, this paper examines the naira exchange rate vis-a-vis four other currencies. The impact of exogenous variables in modelling volatility is considered using both the GARCH (1,1) and its asymmetric variants. Three of the four returns series showed heteroscedasticity. The results of the fitted models indicate that the majority of the parameters are significant and that volatility is quite persistent. Furthermore, the results of the asymmetric model indicate different impacts for both negative and …
Empirical Model For Forecasting Exchange Rate Dynamics: The Go-Garch Approach, Godknows Isenah, Olusanya E. Olubusoye
Empirical Model For Forecasting Exchange Rate Dynamics: The Go-Garch Approach, Godknows Isenah, Olusanya E. Olubusoye
CBN Journal of Applied Statistics (JAS)
The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and four estimators of the GO-GARCH model were considered for fitting the models. Forecast performance tests were conducted using the Diebold-Mariano (DM) and the model confidence set (MCS) tests procedures. The DM test indicates preference for the GO-GARCH model estimated with nonlinear least squares (NLS) estimator – denoted as GOGARCH-NLS, while the MCS test determined a set of superior models (SSM) …
Analysing Oil Price- Macroeconomic Volatility In Nigeria, Alhassan Abdulkareem, Kilishi A. Abdulkareem
Analysing Oil Price- Macroeconomic Volatility In Nigeria, Alhassan Abdulkareem, Kilishi A. Abdulkareem
CBN Journal of Applied Statistics (JAS)
This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the paper employed GARCH model and its variants (GARCH-M, EGARCH and TGARCH) with daily, monthly and quarterly data. The findings reveal that: all the macroeconomic variables considered (real gross domestic product, interest rate, exchange rate and oil price) are highly volatile; the asymmetric models (TGARCH and EGARCH) outperform the symmetric models (GARCH (1 1) and GARCH – M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is vulnerable to both internal shocks (interest rate volatility, real …
Day-Of-The-Week Anomaly: An Illusion Or A Reality? Evidence From Naira/Dollar Exchange Rates, Osarumwense Osabuohien-Irabor
Day-Of-The-Week Anomaly: An Illusion Or A Reality? Evidence From Naira/Dollar Exchange Rates, Osarumwense Osabuohien-Irabor
CBN Journal of Applied Statistics (JAS)
This study examines the day-of-the-week effect in the Nigerian foreign exchange market (Naira against the US dollars), its volatility as well as the asymmetric effects, for the period of 12th May 2009 to 12th June, 2015. The empirical results of GARCH-t(1,1), EGARCH-t(1,1), GJR-GARCH-t(1,1), IGARCH and the OLS methodology shows that the detection of the day-of-the-week effect is influenced by the choice of the volatility model applied. Similarly, the highest or lowest volatility market day goes with the influence of these models. Thus this study clearly support the argument of Charles (2010), that, the days of the week anomalies lies on …
Exchange–Rates Volatility In Nigeria: Application Of Garch Models With Exogenous Break, Bala A. Dahiru, Joseph O. Asemota
Exchange–Rates Volatility In Nigeria: Application Of Garch Models With Exogenous Break, Bala A. Dahiru, Joseph O. Asemota
CBN Journal of Applied Statistics (JAS)
This paper examines exchange–rate volatility with GARCH models using monthly exchange–rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break points. Our results reveal presence of volatility in the three currencies and equally indicate that most of the asymmetric models rejected the existence of a leverage effect except for models with volatility break. Evaluating the models through standard information criteria, volatility persistence and the log likelihood …