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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 …
Persistent link: https://www.econbiz.de/10012513279
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 …
Persistent link: https://www.econbiz.de/10011489480
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 …
Persistent link: https://www.econbiz.de/10011843827
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 …
Persistent link: https://www.econbiz.de/10011460578
-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 …
Persistent link: https://www.econbiz.de/10011471089
model the volatility of these sectors to increase understanding of their behaviour. …
Persistent link: https://www.econbiz.de/10011862130
This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggests non-existence...
Persistent link: https://www.econbiz.de/10012178349
The study examines returns spillover, shock, and volatility transmission between Nigeria and selected global stock … benefit from diversification into Nigeria and Japan markets. Except for China and Hong Kong, volatility is relatively more …. Also, the study observes a positive return transmission between Japan and Nigeria only, suggesting that, investors could …
Persistent link: https://www.econbiz.de/10014516032
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 …
Persistent link: https://www.econbiz.de/10011476231
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. …
Persistent link: https://www.econbiz.de/10011922754