[PDF] Top 20 Modelling Stock Returns Volatility In Nigeria Using GARCH Models
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Modelling Stock Returns Volatility In Nigeria Using GARCH Models
... 3.2 Methodology To capture stock returns volatility clustering, leptokurtosis and leverage effects on the NSE return series, the GARCH 1, 1, and the GJR-GARCH 1,1 models were used.. The [r] ... See full document
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Modeling and forecasting Daily stock Returns of Guaranty Trust Bank Nigeria Plc Using ARMA-GARCH Models, Persistence, Half-life Volatility and Backtesting
... series modelling and forecasting, combining ARMA and GARCH models tend to produce superior and reliable models for volatility persistence, half-life volatility and backtesting ... See full document
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Volatility Modelling using Arch and Garch Models (A Case Study of the Nigerian Stock Exchange)
... and GARCH models have become important tools in the analysis of time series data, particularly in financial ...These models are especially useful when the goal of the study is to analyse and forecast ... See full document
6
On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting
... log returns of the daily stock price of Total Nigeria Plc were modeled with nine different GARCH models (sGARCH, gjrGARCH, eGARCH, iGARCH, aPARCH, TGARCH, NGARCH, NAGARCH and AVGARCH), ... See full document
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On the Volatility of Daily Stock Returns of Total Petroleum Company of Nigeria: Evidence from GARCH Models, Value-at-Risk and Backtesting
... Total Nigeria Plc is a Marketing and Services subsidiary of Total; a multinational energy company operating in more than 130 countries and committed to providing sustainable products and services for its ...Total ... See full document
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Application of Garch Models to Estimate and Predict Financial Volatility of Daily Stock Returns in Nigeria
... of stock returns and the result of our test for ARCH effect which justifies the use of symmetric and asymmetric GARCH-family models for our ...daily stock returns of ...the ... See full document
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MODELING AND FORECASTING DAILY STOCK RETURNS OF GUARANTY TRUST BANK NIGERIA PLC USING ARMA-GARCH MODELS, PERSISTENCE, HALF-LIFE VOLATILITY AND BACKTESTING
... other models failed the ...other models (that is, ARMA(1,1)-TGARCH(2,2); ARMA(1,1)-NAGARCH(2,2) and ARMA(1,1)-AVGARCH(2,2)) (see Tables 18 to 23 in ...the models considered, there were no ARCH ... See full document
22
Modeling and Forecasting USD/UGX Volatility through GARCH Family Models: Evidence from Gaussian, T and GED Distributions
... for GARCH family models that have been used under different specifications in various disciplines to analyze volatility and stylized facts related to forex and stock ...of GARCH ... See full document
14
IPO STOCKS INITIAL RETURNS VOLATILITY A CAUSE-EFFECT DETERMINATION USING VAR AND GARCH MODELS
... and stock price and returns in the US, Japanese, and Norwegian stock ...Nigerian stock market, Yaya and Shittu (2010) find that the previous inflation rates have significant effects on ... See full document
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Stock Volatility Modelling with Augmented GARCH Model with Jumps
... data; volatility changes over time; distribution of the data is heavy-tailed, asymmetric and therefore not ...(squared volatility) is not constant over time and shows autoregressive ...the GARCH ... See full document
9
MODELLING DHAKA STOCK EXCHANGE RETURNS VOLATILITY
... uses GARCH (1,1), GARCH (2,1) and GARCH (2,2) models to investigate the time varying risk return relationship and persistence of shocks to volatility in Bangladesh stock market ... See full document
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How efficient the GARCH type volatility models are? Evidence from Dhaka Stock Index
... the returns series is non Gaussian according to their ...observes stock return behavior by using EGARCH-M model considering GED ...macroeconomic volatility is related to the predicted ... See full document
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ANALYSIS OF STOCK MARKET VOLATILITY IN INDIAUSING GARCH MODELS
... activities. Stock markets also provide ample opportunities for investors to invest their ...in stock markets are very keenly observed by various stake holders mainly, investors, industry, government and ... See full document
13
Does inflation has an Impact on Stock Returns and Volatility? Evidence from Nigeria and Ghana
... standard GARCH (1,1) model does not capture the asymmetric effect of shocks on stock market volatility and hence the choice of QGARCH as enunciated by Sentana ...on stock return ...negative ... See full document
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Crisis Effect On The Relationship Between Stock Returns And Volatility In Iran
... the volatility. We have estimated the relationship between Tehran stock market returns and conditional volatility for three panels of ...that volatility forecasting is difficult and ... See full document
9
Stock market volatility using GARCH models: Evidence from South Africa and China stock markets
... markets, volatility forecasting is important in gauging the riskiness of an ...in stock markets rely on a volatility ...Furthermore, volatility is further used in portfolio ...where ... See full document
12
An Empirical Study Of Volatility Of Nifty Returns And Net Fiis Flows
... modest volatility in FII inflows to India and it was found that stock market volatility was not the actual difficulty caused by fluctuations in FII inflows but the problems posed due to money supply ... See full document
6
Modelling the Stock Price Volatility Using Asymmetry Garch and Ann-Asymmetry Garch Models
... high volatility, this make financial time series different from other time series ...include volatility clustering, stock price exhibiting excess kurtosis, ...distribution, stock price ... See full document
7
Stock Market Volatility Analysis using GARCH Family Models: Evidence from Zimbabwe Stock Exchange
... of stock market volatility is important to investors as well as for investment ...policy. Volatility is directly associated with risks and returns, higher the volatility the more ... See full document
13
Modelling and Estimation of Volatility Using ARCH/GARCH Models in Jordan’s Stock Market
... family models in their capital markets, few studies were found in Jordan concerning this ...the volatility for Amman Stock Exchange (ASE) for the period during (1992-2004), depending on daily ... See full document
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