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 … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

In this study, we examine the effect of introducing SSE 50ETF index options trading on stock market volatility using a … indicators, we estimate the counterfactual volatility of the SSE 50 index and find that the introduction of index options reduces … stock market volatility significantly in the long term. The primary findings are robust to alternative econometric models …