Yaya, OlaOluwa S.; Bada, Abiodun S.; Atoi, Ngozi V. - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-22
The Generalized Autoregressive Score (GAS), Exponential GAS (EGAS) and Asymmetric Exponential GAS (AEGAS) are new classes of volatility models that simultaneously account for jumps and asymmetry. Using these models, we estimate the dynamic pattern of the Nigeria All Share Index (ASI) from...