Nasiru Sani Dauran

Forecasting of the Nigeria Stock Returns Volatility Using GARCH Models with Structural Breaks

Yakubu Musa, Ibrahim Adamu & Nasiru Sani Dauran · Asian Research Journal of Mathematics · 2020

This study examines the stock returns series using Symmetric and Asymmetric GARCH models with structural breaks in the presence of some varying distribution assumptions. Volatility models of Symmetric GARCH (1,1), Asymmetric Power GARCH (1,1) and GJR-GARCH(1,1) models were consid...