Volatility modeling of asset returns

  • AW Babayemi
  • BK Asare

Abstract

This research was carried out using the daily close share price of Nestle Nigeria Plc to identify and model its volatility of returns in the Nigerian Stock Exchange Market. The result of the study showed that basic Generalized Conditionally Heteroskedastic Model (GARCH (1,1)) model (with Gaussian Error Assumptions) best describes the volatility of the returns. The volatility was found to be quite persistent. The resultant model to some extent also exhibited other stylized facts about financial time series.

Keywords: Volatility clustering, assets returns, Gaussian Error Assumptions, stylized facts

International Journal of Natural and Applied Sciences, 6(1): 1-9, 2010

Author Biographies

AW Babayemi

 

Department of Mathematics, Kebbi State University of Science and Technology, Aliero, Nigeria
BK Asare
Department of Mathematics Usmanu Danfodiyo University, Sokoto, Nigeria
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Articles

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eISSN: 0794-4713