Yaya, OlaOluwa S. - In: CBN journal of applied statistics 4 (2013) 2, pp. 69-85
This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the assumptions of stationarity and asymmetry. Fractionally...