On modeling the volatility of Nigerian stock returns using GARCH models

DOI10.5539/JMR.V3N4P31MaRDI QIDQ4917877zbMATH OpenOpenAlexFDO

Authors C. E. Onwukwe, B. E. E. Bassey, I. O. Isaac

Publication date 3 May 2013

Published in Journal of Mathematics Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL http://ccsenet.org/journal/index.php/jmr/article/view/12822/8945

zbMATH Keywords

GARCHvolatilitymodelsseriesstockheteroscedasticity and returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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