期刊名称：Asian Journal of Economics, Business and Accounting
印刷版ISSN：2456-639X
出版年度：2018
卷号：9
期号：1
页码：1-12
DOI：10.9734/AJEBA/2018/39861
语种：English
出版社：Sciencedomain International
摘要：This study examines volatility and its stylized facts in Nigerian stock market using daily quotations of Guinness Plc and 7UP Plc stock prices for the period 2nd January 1995 to 31st December, 2016. The study employs basic GARCH (1,1) to examine the symmetric properties of the series while the asymmetric EGARCH (1,1) and Asymmetric Power ARCH, APACH (1,1) are employed to investigate asymmetry and leverage effects in the return series. The results of symmetric GARCH (1,1) shows volatility clustering, high persistence of shocks and mean reverting behaviour for both returns. The results of the asymmetric EGARCH (1,1) and asymmetric power ARCH, APARCH (1,1) showed the presence of asymmetry with absence of leverage effects in Guinness Plc stock returns and the presence of asymmetry and leverage effects in 7UP Plc stock returns. This result suggests that positive shocks increase volatility more than negative shocks of the same magnitude in Guinness Plc whereas negative shocks generate more volatility than positive shocks of the same magnitude in 7UP Plc returns. The choice of heavy-tailed distributions (GED and student's t) in estimating volatility in this study confirmed the existence of fat tails in Nigerian stock returns. The study recommends some policy implications for investors and policymakers in Nigerian stock market.
