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Nigerian Stock Index : a search for optimal GARCH model using high frequency data

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...

Persistent link: https://www.econbiz.de/10011474661

A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market : evidence from over a century of data

Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula E. - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 384-400

Persistent link: https://www.econbiz.de/10012814585

Energy market uncertainties and US state-level stock market volatility : a GARCH-MIDAS approach

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014505054

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - In: The quarterly review of economics and finance 95 (2024), pp. 280-293

Persistent link: https://www.econbiz.de/10014631538

Connectedness of green investments and uncertainties : new evidence from emerging markets

Ogbonna, Ahamuefula Ephraim; Olubusoye, Olusanya Elisa - In: Fulbright review of economics and policy 2 (2022) 2, pp. 136-160

Purpose: This study aims to investigate the response of green investments of emerging countries to own-market uncertainty, oil-market uncertainty and COVID-19 effect/geo-political risks (GPRs), using the tail risks of corresponding markets as measures of uncertainty. Design/methodology/approach:...

Persistent link: https://www.econbiz.de/10013549801