On modeling the volatility of Nigerian stock returns using GARCH models

DOI10.5539/JMR.V3N4P31zbMATH Open1262.91119OpenAlexW2028499597MaRDI QIDQ4917877FDOQ4917877

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)

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

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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)

Cited In (5)

• Evaluating the volatility forecasting performance of best fitting GARCH models in emerging Asian stock markets
• Volatility modeling with leverage effect under Laplace errors
• Modelling EGX30 of Egyptian stock market using spectral analysis and harmonic regression
• Impact study of volatility modelling of Bangladesh stock index using non-normal density
• Modelling stock returns with AR-GARCH processes

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