International Journal of Financial Management

2013 | Volume 3 | Issue Issue 3

Modelling Stock Market Return Volatility: GARCH Evidence from Nigerian Stock Exchange

1. Kolade Sunday Adesina – Dept. of Banking and Finance, Yaba College of Techn., Yaba, Lagos, Nigeria

Received
- 		Accepted
- 		Published
25-Aug-2013
Abstract
This paper uses symmetric and asymmetric GARCH models to estimate the stock return volatility and the persistence of shocks to volatility of the Nigerian Stock Exchange (NSE). There is substantial evidence for the GARCH modelling through Lagrange Multiplier Test, Correlogram and Ljung-Box Statistics before the estimation of the GARCH models. The study uses 324 monthly data from January 1985 to December 2011 of the NSE all share-index. The result reveals high persistent volatility for the NSE return series. In addition, there is no asymmetric shock phenomenon (leverage effect) for the return series.
Keywords Stock Returns, Volatility, ARCH Effects, GARCH Models
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