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Modelling Stock Market Return Volatility: GARCH Evidence from Nigerian Stock Exchange

International Journal of Financial Management

Volume 3 Issue 3

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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