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The persistence and asymmetric volatility in the Nigerian stock bull and bear markets

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  • Yaya, OlaOluwa S.
  • Gil-Alana, Luis A.

Abstract

This paper considers the persistence and asymmetric volatility at each market phase of the Nigerian All Share Index (ASI). The estimate of the fractional difference parameter is used as a stability measure of the degree of persistence in the level of the series and in the absolute/squared returns, which are used as proxies for the volatility. Both semi-parametric and parametric methods are applied. Forms of Generalized Autoregressive Conditionally Heteroscedastic (GARCH) models, which include fractional integration and asymmetric variants are estimated at each market phase of the stock returns. The results show that the level of persistence differs between the two market phases in both level and squared/absolute return series. Apart from general asymmetry and persistence in Nigerian stocks, each market phase still presents significant persistence and asymmetry.

Suggested Citation

  • Yaya, OlaOluwa S. & Gil-Alana, Luis A., 2014. "The persistence and asymmetric volatility in the Nigerian stock bull and bear markets," Economic Modelling, Elsevier, vol. 38(C), pages 463-469.
  • Handle: RePEc:eee:ecmode:v:38:y:2014:i:c:p:463-469
    DOI: 10.1016/j.econmod.2014.01.004
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    Cited by:

    1. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2016. "Long memory in the Ukrainian stock market and financial crises," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(2), pages 235-257, April.
    2. repec:ebl:ecbull:eb-17-00029 is not listed on IDEAS

    More about this item

    Keywords

    Asymmetry; Market phase; Nigerian All Share Index: persistence;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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