Modelling Stock Market Return Volatility: GARCH Evidence from Nigerian Stock Exchange
Published: 2013
Author(s) Name: Kolade Sunday Adesina |
Author(s) Affiliation: Dept. of Banking and Finance, Yaba College of Techn., Yaba, Lagos, Nigeria
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Abstract
This paper uses symmetric and asymmetric GARCH
models to estimate the stock return volatility and the
persistence of shocks to volatility of the Nigerian Stock
Exchange (NSE). There is substantial evidence for
the GARCH modelling through Lagrange Multiplier
Test, Correlogram and Ljung-Box Statistics before
the estimation of the GARCH models. The study uses
324 monthly data from January 1985 to December
2011 of the NSE all share-index. The result reveals
high persistent volatility for the NSE return series. In
addition, there is no asymmetric shock phenomenon
(leverage effect) for the return series.
Keywords: Stock Returns, Volatility, ARCH Effects, GARCH Models
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