Modelling Stock Returns Volatility In Nigeria Using GARCH Models
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- repec:eco:journ1:2018-02-38 is not listed on IDEAS
- 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.
More about this item
KeywordsModeling; Volatility; Stock Returns; GARCH Models; Nigerian Stock Exchange;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-AFR-2010-05-29 (Africa)
- NEP-ALL-2010-05-29 (All new papers)
- NEP-RMG-2010-05-29 (Risk Management)
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