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Testing Volatility In Nigeria Stock Market Using Garch Models, Ngozi V. Atoi
Testing Volatility In Nigeria Stock Market Using Garch Models, Ngozi V. Atoi
CBN Journal of Applied Statistics (JAS)
The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model. Using Nigeria All Share Index from January 2, 2008 to February 11, 2013, this study estimates first order symmetric and asymmetric volatility models each in Normal, Student’s-t and generalized error distributions with the view to selecting the best forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect meaning that volatility responds more to bad news than it does …