This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By … studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

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 …

-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized … are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only …

This paper examines the effect of foreign exchange news announcements on the volatility of stock returns in Nigeria … market volatility in Nigeria under symmetric conditional variance. However, there was strong evidence of asymmetric effect … volatility equations. The empirical results revealed a positive and significant effect of exchange news announcements on stock …

volatility of Nigeria and Kenya stock returns react to market shock faster than as other countries do. The results also suggest … dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and … volatility reaction to market shocks and volatility persistence alongside the asymmetric properties. The results reveal that …

incorporation of structural breaks while estimating volatility in the Nigerian stock market. This will help to avoid over-estimation …This study examines the volatility persistence and asymmetry with exogenous breaks in Nigerian stock market. The study … of volatility shocks and restore investor's confidence in the stock market. …

The estimation of inflation volatility is important to Central Banks as it guides their policy initiatives for … Heteroscedasticity (GARCH) family with a view to providing a parsimonious approximation to the dynamics of Nigeria's inflation volatility … the dynamics of headline and core CPI volatilities in Nigeria, while the symmetric GARCH (1,1) was found to be adequate …

estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction … significant events in GARCH models in volatility estimation of key asset prices. …This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to …

(low) and bull (high) regimes. Bear regime (1) leads across the 6 election horizons with lower volatility while the bull … regime (2) records higher volatility in addition to more positive returns. Specifically, presidential election impacts … presidential elections in Nigeria. …