Artikel
Forecasting the volatilities of the Nigeria stock market prices
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 next four years.
- Language
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Englisch
- Bibliographic citation
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Journal: CBN Journal of Applied Statistics ; ISSN: 2476-8472 ; Volume: 08 ; Year: 2017 ; Issue: 2 ; Pages: 23-45 ; Abuja: The Central Bank of Nigeria
- Classification
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Wirtschaft
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Financial Markets and the Macroeconomy
Portfolio Choice; Investment Decisions
- Subject
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ARCH Models
ARIMA
Forecasting
Volatility
- Event
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Geistige Schöpfung
- (who)
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Ibrahim, Sikiru O.
- Event
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Veröffentlichung
- (who)
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The Central Bank of Nigeria
- (where)
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Abuja
- (when)
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2017
- Handle
- Last update
- 10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Ibrahim, Sikiru O.
- The Central Bank of Nigeria
Time of origin
- 2017
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