|
|
 |
| |
|
|
|
Modeling Volatility of Nigeria Stock Market Returns using Garch models An Ranking Method |
|
|
|
PP: 13-27 |
|
|
|
doi:10.18576/jsapl/050103
|
|
|
|
Author(s) |
|
|
|
U. Usman,
Y. Musa,
H. M. Auwal,
|
|
|
|
Abstract |
|
|
| The paper titled Modeling Volatility of Nigeria Stock Market Returns Using GARCH Models and Ranking Method studies an alternative method for comparing the performance of several GARCH models in fitting the Nigeria Stock Market Monthly Return series with particular emphasis to the period of financial boom in Nigeria. With a view to determine the effect of the ranking of several GARCH models on the performance of stock market in Nigeria. The results obtained from a known method based on the ranks of the Log Likelihood (Log L), Schwarzs Bayesian Criterion (SBC) and the Akaike Information Criterion (AIC) values. It is found that the best and the worst fit models identified by the method are not the same for the two periods i.e for Training period were CGARCH (1,1) and EGARCH (1,1) while for Testing period were ARCH (1) and GARCH (2,1). The two extreme classes of models are identified to represent the best and the worst groups respectively. The overall effect of this will tend to increase the volatility of the market returns. The paper therefore recommend that the Nigeria government should as a matter of urgency taken appropriate positive measure through the security and exchange commission to regulate the market volatility so that the provided market index could be safely be used as predictive index for measuring the performance of the firms and as a guide for investment purpose. |
|
|
|
|
|
|
|
