Logo
Munich Personal RePEc Archive

Modelling Stock Returns Volatility In Nigeria Using GARCH Models

Emenike, Kalu O. (2010): Modelling Stock Returns Volatility In Nigeria Using GARCH Models. Published in: Proceeding of International Conference on Management and Enterprice Development, Ebitimi Banigo Auditorium, University of Port Harcourt - Nigeria , Vol. 1, No. 4 (10 February 2010): pp. 5-11.

This is the latest version of this item.

[thumbnail of MPRA_paper_23432.pdf]
Preview
PDF
MPRA_paper_23432.pdf

Download (179kB) | Preview

Abstract

There is quite an extensive literature documenting the behaviour of stock returns volatility in both developed and emerging stock markets, but such studies are scanty for the Nigerian Stock Exchange (NSE). Modelling volatility is an important element in pricing equity, risk management and portfolio management. For these reasons, this paper investigates the behaviour of stock return volatility of the Nigerian Stock Exchange returns using GARCH (1,1) and the GJR-GARCH(1,1) models assuming the Generalized Error Distribution (GED). Monthly All Share Indices of the NSE from January 1999, to December 2008, provided the empirical sample for investigating volatility persistence and asymmetric properties of the series. The results of GARCH (1,1) model indicate evidence of volatility clustering in the NSE return series. Also, the results of the GJR-GARCH (1,1) model show the existence of leverage effects in the series. Finally, the Generalized Error Distribution (GED) shape test reveals leptokurtic returns distribution. Overall results from this study provide evidence to show volatility persistence, fat-tail distribution, and leverage effects for the Nigeria stock returns data.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.