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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN Journal of Applied Statistics 05 (2014) 2, pp. 65-93
validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student's t error …
Persistent link: https://www.econbiz.de/10011518789
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Testing volatility in Nigeria stock market using GARCH models
Atoi, Ngozi V. - In: CBN journal of applied statistics 5 (2014) 2, pp. 65-93
validate this result. The last twenty eight days out-of-sample forecast adjudged Power-GARCH (1, 1, 1) in student's t error …
Persistent link: https://www.econbiz.de/10011489480
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Nigeria stock market volatility in comparison with some countries: Application of asymmetric GARCH models
Uyaebo, Stephen O.; Atoi, Victor N.; Usman, Farida - In: CBN Journal of Applied Statistics 06 (2015) 2, pp. 133-160
This study estimated Asymmetric generalized autoregressive conditional heteroscadasticity models with endogenous break dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and China spanning from February 14, 2000 to February 14,...
Persistent link: https://www.econbiz.de/10011482621
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GARCH models with leverage effect : differences and similarities
Rodríguez, María José; Ruiz, Esther - Departamento de Estadistica, Universidad Carlos III de … - 2009
other hand, we show empirically that the conditional standard deviations estimated by the TGARCH and EGARCH models are …In this paper, we compare the statistical properties of some of the most popular GARCH models with leverage effect when … their parameters satisfy the positivity, stationarity and nite fourth order moment restrictions. We show that the EGARCH …
Persistent link: https://www.econbiz.de/10005111012
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Nigeria stock market volatility in comparison with some countries : application of asymmetric GARCH models
Uyaebo, Stephen O.; Atoi, Victor N.; Usman, Farida - In: CBN journal of applied statistics 6 (2015) 2, pp. 133-160
This study estimated Asymmetric generalized autoregressive conditional heteroscadasticity models with endogenous break dummy on two innovation assumptions using daily all share index of Nigeria, Kenya, United States, Germany, South Africa and China spanning from February 14, 2000 to February 14,...
Persistent link: https://www.econbiz.de/10011460578
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Did Diversification Impact Economic Growth in Nigeria in the Last 20 Years of Democratic Government (1999–2019)? A Vector Error Correction Model .
Ajayi, Temitope Abraham - 2020
Diversification of the Nigerian economy from oil-based to other non-oil sectors has become a recurrent economic solution to the growing challenges associated with the Nigerian economy. For the past 20 years of uninterrupted democratic government in Nigeria, the successive federal governments...
Persistent link: https://www.econbiz.de/10015251422
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Valor en Riesgo: Evaluación del desempeño de diferentes metodologías para 7 países latinoamericanos
Alonso, Julio César; Arcos, Mauricio Alejandro - UNIVERSIDAD ICESI - 2006
emplean el EWMA y el TGARCH, se desempeñan bien por lo general, sin embargo, modelos tienen un comportamiento pobre cuando el …
Persistent link: https://www.econbiz.de/10005466531
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Day-of-the-week effect: Petroleum and petroleum products
Meek, Andrew C.; Hoelscher, Seth A. - In: Cogent Economics & Finance 11 (2023) 1, pp. 1-19
This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate...
Persistent link: https://www.econbiz.de/10015074702
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The impact of institutional volatility on financial volatility in transition economies: a GARCH family approach
Hartwell, Christopher A. - 2014
the EGARCH and TGARCH modelling supports the thesis that more advanced and more stable institutions help to dampen … applies the GARCH family of models to examine financial volatility as a function of institutional volatility. The results from …
Persistent link: https://www.econbiz.de/10012148723
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The impact of the Dubai International Airport's activity volume on the Emirati stock market
Dempere, Juan M.; Modugu, Kennedy Prince - In: International journal of business performance … 23 (2022) 1/2, pp. 118-134
Persistent link: https://www.econbiz.de/10012798741