Future Business Journal, Год журнала: 2025, Номер 11(1)
Опубликована: Май 29, 2025
Abstract This study models and forecasts the volatility of Nigerian Stock Exchange (NSE) using advanced econometric techniques, focusing on examining asymmetric leverage effect. Daily data from NSE All Share Index spanning 30 th January, 2012, to 16 October, 2024 (3,176 days) are analysed generalized autoregressive conditional heteroskedasticity family models, including EGARCH GJR-GARCH, along with non-Gaussian distributions like Student’s t-distribution. The findings reveal a significant effect, where negative shocks impact stock prices more than positive ones, supporting theory. also identifies clustering, high-volatility periods followed by continued volatility, further highlighting persistence market turbulence. Among tested, GJR-GARCH t-distribution performs best in forecasting providing superior fit accuracy. These insights offer practical implications for investors policymakers managing risks emerging markets, particularly during high volatility.
Язык: Английский