Emenogu, Ngozi G.; Adenomon, Monday Osagie; Nweze, … - In: Financial Innovation 6 (2020) 1, pp. 1-25
This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models … backtesting. We use daily data for Total Nigeria Plc returns for the period January 2, 2001 to May 8, 2017, and conclude that … to converge; the mean reverting number of days for returns differed from model to model. From the analysis of VaR and its …