Yaya, OlaOluwa S.; Akinlana, Damola M.; Shittu, … - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-22
This paper examined the application of nonlinear Smooth Transition-Generalized Autoregressive Conditional Heteroscedasticity (ST-GARCH) model of Hagerud on prices of banks’ shares in Nigeria. The methodology is informed by the failure of the conventional GARCH model to capture the asymmetric...