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- Nigeria (16)
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Articles 31 - 60 of 138
Full-Text Articles in Social and Behavioral Sciences
Can Islamic Banking And Finance Spur Financial Inclusion? Evidence From Sub-Saharan Africa, Musa Abdu, Adamu Jibir, Salihu Abdullahi, Aliyu A. Rabi'u
Can Islamic Banking And Finance Spur Financial Inclusion? Evidence From Sub-Saharan Africa, Musa Abdu, Adamu Jibir, Salihu Abdullahi, Aliyu A. Rabi'u
CBN Journal of Applied Statistics (JAS)
This study examined the effect of introduction of Islamic banking and finance on financial inclusion in Sub-Sahara Africa (SSA). To achieve this objective, the study applied Probit, Tobit and Juhn-Murphy-Pierce decomposition to estimate model of financial inclusion. The study used World Bank’s Global Financial inclusion index (Global Findex) dataset of 2015. The findings revealed that the introduction of Islamic banking and finance system in some Organization of Islamic Cooperation (OIC) countries in SSA enhanced financial inclusion in the sub-region. The study also uncovers that households from OIC with Islamic banking and finance are more likely to be financially included than …
Estimating And Forecasting The Impact Of Inflation On Economic Growth In Nigeria Using Threshold Analysis, David O.K. Okoroafor, Sesan O. Adeniji, Timilehin Olasehinde
Estimating And Forecasting The Impact Of Inflation On Economic Growth In Nigeria Using Threshold Analysis, David O.K. Okoroafor, Sesan O. Adeniji, Timilehin Olasehinde
CBN Journal of Applied Statistics (JAS)
This study examined the causal relationship between inflation and economic growth as well as estimating threshold and forecasting of inflation in Nigeria for the period of 1961 – 2016. The study employed Granger causality test, Autoregressive Distributed Lag (ARDL), Autoregressive Integrated Moving Average (ARIMA) and a multivariate time series Vector Autoregressive (VAR) models. Granger causality test result showed that inflation does not granger cause economic growth and neither does economic growth granger cause inflation during the period of study. Using broad money supply to GDP as control variable, an inflation threshold of 14% -15% both in the short run and …
Modelling Volatility Persistence And Asymmetry Of Naira-Dollar Exchange Rate, Mutiu A. Oyinlola
Modelling Volatility Persistence And Asymmetry Of Naira-Dollar Exchange Rate, Mutiu A. Oyinlola
CBN Journal of Applied Statistics (JAS)
This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de Change (BDC) using monthly data between January 2004 and November 2017. The study employed Generalized Autoregressive Conditional Heteroscedasticity [GARCH (1,1)], Threshold GARCH [TGARCH (1,1)] and Exponential GARCH [EGARCH (1,1)]. The results of Bai-Perron (2003) structural break identified two significant breaks in each market. Interestingly, the breaks, particularly for the interbank exchange rate(December, 2014 and January, 2015), seem to have coincided with the period of depreciation in the country’s exchange rate which could be linked to the precipitous movement in the international crude oil …
Impact Of Energy Consumption On Poverty Reduction In Africa, Innocent Okwanya, Patricia O. Abah
Impact Of Energy Consumption On Poverty Reduction In Africa, Innocent Okwanya, Patricia O. Abah
CBN Journal of Applied Statistics (JAS)
This study investigates the impact of energy consumption on poverty reduction in a panel of 12 African countries over a period of 1981-2014. Using the Fully Modified Ordinary Least Square (FMOLS) method, the study shows that a long-run negative relationship exists between energy consumption and poverty level, which underscores the importance of energy in poverty reduction in the selected African countries. The result also indicates that other variables such as capital stock and political stability have significant effect on poverty implying that these factors play critical role in reducing poverty. Furthermore, the granger causality test shows that a short-run unidirectional …
Macroeconomic Implications Of Trade Diversification In Nigeria, Lukman O. Oyelami, Philip O. Alege
Macroeconomic Implications Of Trade Diversification In Nigeria, Lukman O. Oyelami, Philip O. Alege
CBN Journal of Applied Statistics (JAS)
This study seeks to examine the effects of trade diversification on macroeconomic performance in Nigeria. To achieve this, the study employs bound test of ARDL to determine the existence of cointegration between trade diversification and key macroeconomic variables. We further estimate the short-run and long-run effects of Intensive and Extensive trade diversification on Economic growth and exchange rate movements. The results from bound tests confirm co-integration between trade diversification and economic growth on one hand and trade diversification and exchange rate movements on the other hand. Similarly, the results from our estimations show that trade diversification can propel economic growth …
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 …
The Consumption-Oriented Capital Asset Pricing Model In The Nigerian Stock Exchange, Abidemi C. Adegboye
The Consumption-Oriented Capital Asset Pricing Model In The Nigerian Stock Exchange, Abidemi C. Adegboye
CBN Journal of Applied Statistics (JAS)
In this study, the Consumption-oriented Capital Asset Pricing Model (CCAPM) is tested for Nigeria by considering returns on investments in the Nigerian Stock Exchange market and other financial assets for the period 1993: Q1 to 2016:Q4. Three tests are conducted. The first test examines forecast performance of excess returns for the selected portfolios in predicting future consumption; the second test estimates the consumption betas for the set of assets using two alternative formulations of the CCAPM; and the third test included consumption growth variable in a multifactor risk analysis to compare with the basic CAPM formulations. The empirical results indicates …
On The Properties Of The Weibull-Burr Iii Distribution And Its Application To Uncensored And Censored Survival Data, Aliyu Yakubu, Sani I. Doguwa
On The Properties Of The Weibull-Burr Iii Distribution And Its Application To Uncensored And Censored Survival Data, Aliyu Yakubu, Sani I. Doguwa
CBN Journal of Applied Statistics (JAS)
Twelve different families of cumulative distributions that are used to model real life data were introduced by Burr (1942). Burr III distribution is among these families of cumulative distributions. In this work, a four-parameter distribution is introduced to model real life scenarios called Weibull-Burr III distribution. The limiting behavior of the proposed distribution, hazard function, moments, skewness, kurtosis and quantile function is investigated; order statistics and entropy are also derived. The method of Maximum Likelihood Estimation technique was used in estimating the parameters of the proposed distribution. To prove the flexibility and performance of the distribution and Weibull-G family of …
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 …
Determinants Of Financial Inclusion In Sub-Saharan Africa Countries: Does Institutional Infrastructure Matter?, Kazeem B. Ajide
Determinants Of Financial Inclusion In Sub-Saharan Africa Countries: Does Institutional Infrastructure Matter?, Kazeem B. Ajide
CBN Journal of Applied Statistics (JAS)
The paper examines the determinants of financial inclusion by specially accounting for the role of institutions in a panel of eighteen (18) subSaharan Africa (SSA) countries using a dynamic system of Generalized Method of Moments (SYS-GMM). The emanated findings consistently stress the importance of institutions together with other control variables like GDP per capita, inflation, bank concentration and z-score as key drivers of FI. In the final analysis, the paper emphasizes the importance of using dimension by dimension indicators of governance as well as a composite governance index instead of relying solely on the latter as a basis of informing …
The Impact Of Private Sector Credit On Economic Growth In Nigeria, Ganiyu B.A. Amoo, Matthew I. Eboreime, Yusuf Adamu, Maximillian C. Belonwu
The Impact Of Private Sector Credit On Economic Growth In Nigeria, Ganiyu B.A. Amoo, Matthew I. Eboreime, Yusuf Adamu, Maximillian C. Belonwu
CBN Journal of Applied Statistics (JAS)
The paper determines empirically the local conditions and policy environment that influence the absorptive capacity of credit in the Nigerian economy for the period 1993:Q1 to 2013:Q4 using fully modified least squares. Findings show that credit is growth-enhancing, even when trade openness, monetary policy, investment climate and infrastructure are low. Also, the composite local condition index analysis revealed that private sector credit increased economic growth when domestic or local conditions were favourable and the absorptive capacity of the domestic economy for credit was estimated at 29% of the GDP in 2013. These results suggest that there is ample room for …
An Assessment Of The Impact Of Banking Reforms On Economic Growth And Bank Performance In Nigeria, Matthew O. Gidigbi
An Assessment Of The Impact Of Banking Reforms On Economic Growth And Bank Performance In Nigeria, Matthew O. Gidigbi
CBN Journal of Applied Statistics (JAS)
This study assesses the impact of banking reforms on banks’ performance and economic growth for the period 1981 to 2015 by fitting an ANOVA model into Stepwise Regression. Using dummy variables to isolate reform periods, results show that banking reforms contribute positively to economic growth, especially in the period 1999 to 2004. Also, banking reforms are found to contribute negatively to banks’ performance, following the 1993 reforms. The study confirms that banking system reforms in Nigeria have dual impact on the economy and banks’ performance. The banking reforms are capable of promoting growth in the economy. Thus, the study recommends …
Improving Accuracy With Forecast Combination: The Case Of Inflation And Currency In Circulation In Nigeria, Alvan E. Ikoku, Chukwunonso T. Okany
Improving Accuracy With Forecast Combination: The Case Of Inflation And Currency In Circulation In Nigeria, Alvan E. Ikoku, Chukwunonso T. Okany
CBN Journal of Applied Statistics (JAS)
This study shows how the application of forecast combination improves the accuracy of forecasts of economic variables. Using data from January 2009 to December 2014 on the Nigerian inflation rate, and forecasts of currency in circulation (see Ikoku, (2014)) as examples, we find that by combining forecasts of both variables using the regressionbased method, the mean absolute percent errors of the combined forecasts were lower than the forecast errors from the individual models of the variables.
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 …
Exchange Rate Misalignment Under Different Exchange Rate Regimes In Nigeria, Sunday N. Essien, Stephen O.U. Uyaebo, Babatunde S. Omotosho
Exchange Rate Misalignment Under Different Exchange Rate Regimes In Nigeria, Sunday N. Essien, Stephen O.U. Uyaebo, Babatunde S. Omotosho
CBN Journal of Applied Statistics (JAS)
This study examines the dynamics of naira real exchange rate (RER) during the period 2000Q1 – 2016Q1 as well as the extent to which it deviated from its long run equilibrium path. To achieve this, we adopt the Behavioural Equilibrium Exchange Rate (BEER) model approach and incorporate the effects of an endogenously determined breakpoint in the cointegrating vector of the RER model. We found empirical support for the existence of a long-run relationship between RER and its determinants that is subject to a structural break in 2011Q1. Also, model results showed that exchange rate policy, productivity and interest rate differentials …
Agricultural Sector Credit And Output Relationship In Nigeria: Evidence From Nonlinear Ardl1, Oloronsola E. Olowofeso, Adeyemi A. Adeboye, Valli T. Adejo, Kufre J. Bassey, Ochoche Abraham
Agricultural Sector Credit And Output Relationship In Nigeria: Evidence From Nonlinear Ardl1, Oloronsola E. Olowofeso, Adeyemi A. Adeboye, Valli T. Adejo, Kufre J. Bassey, Ochoche Abraham
CBN Journal of Applied Statistics (JAS)
This paper investigates the relationship between credit to agriculture and agricultural output in Nigeria by means of nonlinear autoregressive distributed lag (NARDL) model using a time series data from 1992Q1 to 2015Q4. Results show no evidence of asymmetry in the impact of credit to output growth in the agricultural sector (positive and negative changes) in the short-run, but different equilibrium relationships exist in the long-run. The dynamic adjustments show that the cumulative agricultural output growth is mostly attracted by the impact of the positive changes in credit to agriculture with a lag of four quarters of the prediction horizon. This …
Modelling Inflation Rate Volatility In Nigeria With Structural Breaks, Ismail O. Fasanya, Oluwasegun B. Adekoya
Modelling Inflation Rate Volatility In Nigeria With Structural Breaks, Ismail O. Fasanya, Oluwasegun B. Adekoya
CBN Journal of Applied Statistics (JAS)
This study compares the performance of GARCH-Type models in modelling inflation volatility in Nigeria covering the period 1995M01 to 2016M10. In the paper, we provide two main innovations: (i) we analyze inflation rate of two pronounced consumer prices indices namely headline and core consumer price indices using the Augmented DickeyFuller break point test which allow for structural breaks in the data series; and (ii) the method is modified to include both symmetric and asymmetric volatility models. The empirical examination observes evidence of volatility persistence in the consumer price indices, but only headline is consistent with leverage effects. Thus, applying one-modelfits-all …
Testing For The Stability And Persistence Of The Phillips Curve For Nigeria, Chuku Chuku, Johnson Atan, Felix Obioesio
Testing For The Stability And Persistence Of The Phillips Curve For Nigeria, Chuku Chuku, Johnson Atan, Felix Obioesio
CBN Journal of Applied Statistics (JAS)
In this study, we describe the problem of testing for the stability and persistence of the Phillips curve for Nigeria when there are nonstationarities in the marginal distribution of the regressors. We test for unknown break dates using the 𝑆𝑢𝑝𝐹,𝐴𝑣𝑔𝐹 and 𝐸𝑥𝑝𝐹 approaches. After reviewing the relevant asymptotic distribution theory we replicate Hansen’s fixed-regressor bootstraping scheme, which shows that Andrews’ tabulated critical values for the test statistics are oversized, and are not robust to the presence of nonstationarities in the marginal distribution of the regressors. In search of alternative bootstraping schemes, we experiment with the sieve, wild, and Rademacher schemes …
Testing Validity Of Observed Indicators Of Local Content Policy In Nigeria: Evidence From Four-Factor Measurement Model, Abdulkabir N. Adedeji, Muhammad O. Lawan, Shaufiq F. Sidique
Testing Validity Of Observed Indicators Of Local Content Policy In Nigeria: Evidence From Four-Factor Measurement Model, Abdulkabir N. Adedeji, Muhammad O. Lawan, Shaufiq F. Sidique
CBN Journal of Applied Statistics (JAS)
This paper tests validity property of the indicators that measured local content policy (LCP) in Nigeria’s oil sector. Survey data were obtained for the test, using confirmatory factor analysis (CFA) method. The results obtained from a four-factor measurement model confirmed the LCP indicators to be valid. This reflects that the policy can achieve its developmental targets on local value creation with particular reference to increased local firms’ participation, backward linkages, and job creation in Nigeria’s oil sector. Hence, government should focus on effective implementation and compliance of the policy rather than “labour clause” as contained in the local content Act. …
The Impact Of Trade On Economic Growth In Ecowas Countries: Evidence From Panel Data, Milton Iyoha, Ajan Okim
The Impact Of Trade On Economic Growth In Ecowas Countries: Evidence From Panel Data, Milton Iyoha, Ajan Okim
CBN Journal of Applied Statistics (JAS)
The poor economic performance and growth of ECOWAS economies have become so challenging and this has necessitated research and discussions. Experts have argued that the relationship between trade and economic growth in the ECOWAS region is unclear and the question of whether trade promotes growth and development is controversial. In this paper, an attempt is made to analyse the impact of trade on economic growth both from a theoretical perspective and using econometric evidence from ECOWAS countries. In particular, an attempt is made to econometrically test the hypothesis of a positive relationship between trade and growth in ECOWAS countries during …
Determining The Optimal Public Debt Threshold For Nigeria, Babatunde S. Omotosho, Sani Bawa, Sani I. Doguwa
Determining The Optimal Public Debt Threshold For Nigeria, Babatunde S. Omotosho, Sani Bawa, Sani I. Doguwa
CBN Journal of Applied Statistics (JAS)
This paper investigates the existence of threshold effects in the relationship between public debt and economic growth in Nigeria using quarterly data. Generally, we found empirical support for an inverted U-shape relationship between public debt types and economic growth. For total public debt as percentage of GDP, model results identified a threshold level of 73.70 per cent, while the estimated inflexion points for external and domestic debts were 49.4 and 30.9 per cent, respectively. The implication of this finding is that debt accumulation in excess of the estimated threshold levels could hurt economic growth. A retrospective examination of the country’s …
On Building Inference For The Statistical Neural Network With Application To Naira-Dollar Exchange Rate Efficiency: A Bootstrap Approach, Christopher Godwin Udomboso Dr, Francisco U. Saliu
On Building Inference For The Statistical Neural Network With Application To Naira-Dollar Exchange Rate Efficiency: A Bootstrap Approach, Christopher Godwin Udomboso Dr, Francisco U. Saliu
CBN Journal of Applied Statistics (JAS)
In this study, we developed an inference procedure for the neural network using the bootstrap approach, and applied it to the market efficiency of the Nigerian exchange rate. Data used are exchange rate values from 2001 to 2015. We conducted a test on the market efficiency hypothesis, including test for relevance of individual and joint network inputs using method of partial derivative. The network architecture used is the multilayer perceptron. A valid statistical inference based on the estimated Statistical Neural Network was conducted using a well-known statistical resampling technique. Test of hypothesis that input or groups of inputs are relevant …
Volatility In The Nigerian Stock Market: Empirical Application Of Beta-T-Garch Variants, Olaoluwa S. Yaya, Abiodun S. Bada, Victor N. Atoi
Volatility In The Nigerian Stock Market: Empirical Application Of Beta-T-Garch Variants, Olaoluwa S. Yaya, Abiodun S. Bada, Victor N. Atoi
CBN Journal of Applied Statistics (JAS)
The Generalized Autoregressive Score (GAS), Exponential GAS (EGAS) and Asymmetric Exponential GAS (AEGAS) are new classes of volatility models that simultaneously account for jumps and asymmetry. Using these models, we estimate the dynamic pattern of the Nigeria All Share Index (ASI) from January 3, 2006 to July 22, 2014. Parameter estimates of the models were obtained using the Quasi Maximum Likelihood (QML) approach, and in-sample conditional volatility forecasts from each of the models were evaluated using the minimum loss function approach. Among the classical volatility models, the initial results detected IGARCH-t as the best model for predicting volatility in the …
The Causes Of Persistent Inflation In Nigeria, Victor O. Asekunowo
The Causes Of Persistent Inflation In Nigeria, Victor O. Asekunowo
CBN Journal of Applied Statistics (JAS)
This study sought to identify the traditional and institutional inflation variables responsible for inflation phenomenon and the magnitude of the contribution of the identified variables to the rise in general price level. Secondary data on key macroeconomic variables in the economy from 1974 to 2013 were used. The data collected were analysed using the Autoregressive Distributed Lag (ARDL) bounds test. The results showed that there existed a longrun co-movement among the variables. Also, the ordinary least squares estimate showed that Real Effective Exchange Rate, Lagged Consumer Price Index, Real Broad Money and Real Profits were statistically significant in influencing Consumer …
A Three-State Markov Model For Predicting Movements Of Asset Returns Of A Nigerian Bank, Maruf A. Raheem, Patrick O. Ezepue
A Three-State Markov Model For Predicting Movements Of Asset Returns Of A Nigerian Bank, Maruf A. Raheem, Patrick O. Ezepue
CBN Journal of Applied Statistics (JAS)
We present in this paper an alternative approach to determining and predicting the fluctuations in the daily prices and stock returns of a first-generation bank in the Nigerian Stock Market (NSM). The approach uses a three-state Markov to estimate the expected duration of the asset returns in states classified as rising (positive) (𝑅𝑘), falling (negative) state (𝑅𝑚) or stable (zero) state (𝑅𝑙). Related goodness-of-fit tests show that the Markov model fits the data adequately with an error rate of approximately 0.1. The maximum expected lengths of successively being in either positive or negative regime is 4 days, while that of …
Dynamic Effects Of Fiscal Policy On Output And Unemployment In Nigeria: An Econometric Investigation, Attahir B. Abubakar
Dynamic Effects Of Fiscal Policy On Output And Unemployment In Nigeria: An Econometric Investigation, Attahir B. Abubakar
CBN Journal of Applied Statistics (JAS)
This study investigates the effect of fiscal policy shocks on output and unemployment in Nigeria under the Keynesian framework by employing the Structural Vector Autoregression (SVAR) methodology to analyse annual series on the relevant variables for the period 1981-2015. Augmented Dickey Fuller (ADF) test for unit root result shows all variables to be integrated of order one and Johansen Cointegration test confirms the presence of long run association among the variables. Findings of the SVAR model shows shock in public expenditure as having a positive long- lasting effect on output. Revenue shock was found to exert a positive effect (lower …
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 …
Modelling Nigerian Banks’ Share Prices Using Smooth Transition Garch Models, Olaoluwa S. Yaya, Damola M. Akinlana, Olanrewaju I. Shittu
Modelling Nigerian Banks’ Share Prices Using Smooth Transition Garch Models, Olaoluwa S. Yaya, Damola M. Akinlana, Olanrewaju I. Shittu
CBN Journal of Applied Statistics (JAS)
This paper examined the application of nonlinear Smooth Transition-Generalized Autoregressive Conditional Heteroscedasticity (ST-GARCH) model of Hagerud on prices of banks’ shares in Nigeria. The methodology is informed by the failure of the conventional GARCH model to capture the asymmetric properties of the banks’ daily share prices. The asymmetry and non-linearity in the model dynamics make it useful for generating nonlinear conditional variance series. From the empirical analysis, we obtained the conditional volatility of each bank’s share price return. The highest volatility persistence was observed in Bank 6, while Bank 12 had the least volatility. Evidently, about 25% of the investigated …
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) …