Analysis of Nigerian Stock Market Returns Volatility Using Skewed ARMA-GARCH Model

Simple item page
dc.contributor.authorAdewole, A. P.
dc.contributor.authorIsenah, M.G
dc.contributor.authorAgwuegbo, S.O
dc.date.accessioned2019-09-06T08:41:55Z
dc.date.available2019-09-06T08:41:55Z
dc.date.issued2013
dc.descriptionStaff publicationen_US
dc.description.abstractThis study used ARMA-GARCH type volatility models for predicting future values of the Nigerian stock market's percentage nominal returns and volatility. The data used in the study are time series data of the monthly Nigerian Stock Exchange All-Share-Index for the period of January 1990 to December 2012. The data was further segmented into in-sample and out-sample data sets for model building and out-of-sample forecast comparisons. Three ARMA(1,2)-GARCH(1, 1) models with skewed normal distribution (SNORM), skewed Student-t distribution (SSTD) and skewed generalized error distribution (SGED) were fitted. In-sample model selections were based on the Akaike Information Criterion (AIC), Bayes Information Criterion ( BIC), Schwarz Information Criterion ( SIC) and the Hannan - Quinn Information Criterion ( HQIC), while out-sample forecast evaluations were based on the Forecast Root Mean Square Error (FRMSE) and Forecast Mean Absolute Error (FMAE) metrics. The results of the study revealed the asymmetry) inherent in the stock market returns distribution with kurtosis that exceeds that of normal distribution. The ARMA (1,2)-GARCH (1,1) model with skewed normal error distribution slightly outperformed the other models in the out-sample forecast evaluations, but for short-run forecasts the three models are quite adequate.en_US
dc.identifier.citationIsenah, M.G., Agwuegbo, S.O and Adewole, A.P (2013). Analysis of Nigerian Stock Market Returns Volatility Using Skewed ARMA-GARCH models. Journal of Nigerian Statistical Association, Vol 25, 31-50pp.en_US
dc.identifier.urihttps://ir.unilag.edu.ng/handle/123456789/5373
dc.language.isoenen_US
dc.publisherJournal of Nigerian Statistical Associationen_US
dc.relation.ispartofseriesJournal of Nigerian Statistical Association;25
dc.subjectGARCH modelen_US
dc.subjectSkewed distributionen_US
dc.subjectConditional meanen_US
dc.subjectConditional varianceen_US
dc.subjectNigerian stock marketen_US
dc.subjectResearch Subject Categories::TECHNOLOGY::Information technologyen_US
dc.titleAnalysis of Nigerian Stock Market Returns Volatility Using Skewed ARMA-GARCH Modelen_US
dc.typeArticleen_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
ADEWOLE24_NIGERIAN_STOCK_MARKET_ANALYSIS.pdf
Size:
11.1 MB
Format:
Adobe Portable Document Format
Description:
Main article
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Computer Science -Scholarly Publications