Créer un compte gratuit
Rejoignez Calaméo pour publier et partager vos documents !
Notez et commentez vos publications favorites, téléchargez des documents, partagez vos lectures avec vos amis.
Stock Market Volatility and Macroeconomic Variables Volatility in Nigeria An Exponential GARCH Approach
15 pages
Publié par
Decker Alexander
Journal of Economics and Sustainable Development www.
iiste.
org
ISSN 2222-1700 (Paper) ISSN 2222-2855 (Online)
Vol.
2, No.
10, 2011
28 | P a g e
www.
iiste.
org
Stock Market Volatility and Macroeconomic Variables
Volatility in Nigeria:...
[Plus]
Journal of Economics and Sustainable Development www.
iiste.
org
ISSN 2222-1700 (Paper) ISSN 2222-2855 (Online)
Vol.
2, No.
10, 2011
28 | P a g e
www.
iiste.
org
Stock Market Volatility and Macroeconomic Variables
Volatility in Nigeria: An Exponential GARCH Approach
Isiaq Olasunkanmi Oseni1
*, Philip Ifeakachukwu Nwosa
2
1.
Department of Economics, Accounting & Finance, Bells University of Technology, P.
M.
B 1015,
Ota
2.
Department of Economics, Accounting & Finance, Bells University of Technology, P.
M.
B.
1015
Ota
*E-mail of the corresponding author: osenibells@ymail.
com
Abstract
This study employed AR (k)-EGARCH (p, q) technique to examine the volatility in stock market and
macroeconomic variables, and used LA-VAR Granger Causality test to analyze the nexus between stock
market volatility and macroeconomic variables volatility in Nigeria for the periods 1986 to 2010 using
time-series data.
The results of the findings revealed that there exists a bi-causal relationship between
[Moins]
Tags
development,
economic,
economics,
egarch,
iiste,
interest,
issn,
macroeconomic,
market,
nigeria,
prices,
rate,
relationship,
returns,
stock,
variables,
volatility
![4.[39-47]CONSUMERISM A PILLAR OF SOCIAL WELFARE INDIAN PERSPECTIVE](http://i3.calameoassets.com/111207175601-2df797ff7a5c39a7c59f4773180cafef/p1.jpg)
