The study assesses Value at Risk (VaR) methods with respect to their efficiency and consistency in selected banks of the Nigeria Stock Market. The daily data on share prices of each bank was used from 2006 to 2018. The Value at Risk of each bank was estimated and the predictive p...
Open access
Research Article10.9734/jamcs/2020/v35i230245
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...
Open access
Research Article10.9734/arjom/2020/v16i230174
This study focuses on the modelling of Nigerian stock market all–shares index and evaluations of predictions ability using ARIMA, Artificial Neural Network and a hybrid ARIMA-Artificial Neural Network model. The ARIMA (1,1,1) model and neural network with architecture (6:1:3) tur...
Open access
Research Article10.9734/ajpas/2020/v6i230157