MODELLING OF MARKET VOLATILITY USING EGARCH: EVIDENCE FROM NIGERIA STOCK EXCHANGE

Authors

  • Ali H Department of Mathematics, University of Jos, P. M. B. 2048, Jos, Nigeria
  • Akpan E A Department of Mathematics, University of Jos, P. M. B. 2048, Jos, Nigeria.
  • Ben E O Department of Statistics, Abubakar Tafawa Balewa University Bauchi, P. M. B. 2084, Bauchi, Nigeria.
  • Akanihu C N Department of Mathematics, University of Jos, P. M. B. 2048, Jos, Nigeria.

Keywords:

Volatility, Exponential, ARCH, GARCH, Modelling

Abstract

This paper examines the use of eGARCH-type model for modelling volatility and explaining financial market risk. We use daily prices of cooking Gas from Nigeria (NSE). We find strong evidence that daily prices fluctuation can be characterized by the eGARCH-type model. We conclude that increased risk will not necessarily lead to a rise in the returns. Gas is volatile, because of the uncertainty in prices (and economy) over the examined period. These findings are strongly recommended to financial managers and modelers dealing with local and international markets.

References

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Published

2025-03-18

How to Cite

Ali, H., Akpan , E. A., Ben, E. O., & Akanihu, C. N. (2025). MODELLING OF MARKET VOLATILITY USING EGARCH: EVIDENCE FROM NIGERIA STOCK EXCHANGE. British International Journal of Applied Economics, Finance and Accounting, 9(2), 6–18. Retrieved from https://aspjournals.org/Journals/index.php/bijaefa/article/view/1042

Issue

Vol. 9 No. 2 (2025): March-April

Section

Articles

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Copyright (c) 2025 British International Journal of Applied Economics, Finance and Accounting

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