On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting

Abstract This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models: sGARCH, girGARCH, eGARCH, iGARCH, aGARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH along with value at risk estimation and backtesting. We use daily data for Total Nigeria Pl...

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Bibliographic Details
Main Authors: Ngozi G. Emenogu, Monday Osagie Adenomon, Nwaze Obini Nweze
Format: Article
Published: SpringerOpen 2020-03-01
Series:Financial Innovation
Online Access:http://link.springer.com/article/10.1186/s40854-020-00178-1

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