Artikel
Testing volatility in Nigeria stock market using GARCH models
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 to equal magnitude of good news. The news impact curves validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student's t error distribution as the best predictive model based on Root Mean Square Error and Theil Inequality Coefficient. The study therefore recommends that empirical works should consider alternative error distributions with a view to achieving a robust volatility forecasting model that could guarantee a sound policy decisions.
- Sprache
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Englisch
- Erschienen in
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Journal: CBN Journal of Applied Statistics ; ISSN: 2476-8472 ; Volume: 05 ; Year: 2014 ; Issue: 2 ; Pages: 65-93 ; Abuja: The Central Bank of Nigeria
- Klassifikation
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
- Thema
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GARCH
TGARCH
EGARCH
PGARCH
Error Distributions
Leverage Effect
News Impact Curve
Forecasting
- Ereignis
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Geistige Schöpfung
- (wer)
-
Atoi, Ngozi V.
- Ereignis
-
Veröffentlichung
- (wer)
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The Central Bank of Nigeria
- (wo)
-
Abuja
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:41 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Atoi, Ngozi V.
- The Central Bank of Nigeria
Entstanden
- 2014
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