MODELING THE VOLATILITY FOR LONG TERM INTEREST RATE RETURNS IN THE NIGERIA BOND MARKET USING CONDITIONALY HETEROSCEDASTIC MODELS

MODELING THE VOLATILITY FOR LONG TERM INTEREST RATE RETURNS IN THE NIGERIA BOND MARKET USING CONDITIONALY HETEROSCEDASTIC MODELS

Investigating the volatility of financial assets is fundamental to risk management. This study used generalized Autoregressive Conditional Heteroscedastic Volatility models to evaluate the volatility of the long term interest rate of Nigeria's financial market. We also incorporated three innovat...

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Bibliographic Details
Main Authors: Sunday Olaniyan, Hamadu Dallah
Format: Article
Language:English
Published: Universitas Negeri Jakarta 2020-08-01
Series:Jurnal Ilmiah Wahana Akuntansi
Subjects:
volatility models
maximum likelihood
long term interest rate
ged
bond market
Online Access:http://journal.unj.ac.id/unj/index.php/wahana-akuntansi/article/view/15528

Internet

http://journal.unj.ac.id/unj/index.php/wahana-akuntansi/article/view/15528

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