Volatility and the trade-off between risk and return in stock markets is an important subject in financial theory which play significant role in investment decision making, portfolio selection, options pricing, financial stability, hedging and pair trading strategy among others....
Open access
Research Article10.9734/arjom/2019/v13i130097
This study investigated the impact of volatility shock persistence on the conditional variance in the Nigerian stock returns using symmetric and asymmetric higher order GARCH family models in the presence of random level shifts and non-Gaussian errors. The study utilised Bai and...
Open access
Research Article10.9734/ajpas/2019/v3i230091
This study examines volatility and its stylized facts in Nigerian stock market using daily quotations of Guinness Plc and 7UP Plc stock prices for the period 2nd January 1995 to 31st December, 2016. The study employs basic GARCH (1,1) to examine the symmetric properties of the se...
Open access
Research Article10.9734/AJEBA/2018/39861
This study examines the impact of structural breaks on conditional variance and mean reversion in symmetric and asymmetric GARCH models. A multiple breakpoint testing procedure was used to identify structural break points in conditional variance of daily stock returns of 8 commer...
Open access
Research Article10.9734/ARJOM/2017/33063