An application of asymmetric GARCH models on volatility of banks equity in Nigeria's stock market

Artikel

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 also recommend for adequate regulatory effort by the CBN over commercial banks operations that will enhance efficiency of their stocks performance and reduce volatility aimed at boosting investors' confidence in the banking sector.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: CBN Journal of Applied Statistics ; ISSN: 2476-8472 ; Volume: 08 ; Year: 2017 ; Issue: 1 ; Pages: 73-99 ; Abuja: The Central Bank of Nigeria

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Model Evaluation, Validation, and Selection ; Financial Econometrics ; Asset Pricing; Trading Volume; Bond Interest Rates ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Subject: Equity ; Volatility ; Stock Market Returns

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Asemota, Omorogbe J. ; Ekejiuba, Ucheoma C.
• Event: Veröffentlichung
• (who): The Central Bank of Nigeria
• (where): Abuja
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/191698
• Last update: 10.03.2025, 11:42 AM CET