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Full-Text Articles in Business
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 …