Modeling Nigeria Banks Share Price Using Smooth Transition GARCH Model

This book address the challenge pose by the aftermath of the global financial crisis. Specifically, its implication on the Nigeria Economy. In finding a way out of this current state of the financial world, financial time series experts have continued analyzing what was responsible for the crash in financial system as related to other economic variables. Since the conventional GARCH model fails to adequately capture asymmetry and nonlinearity properties of financial data, a major breakthrough in financial modelling is the introduction of ST-GARCH model; a model that simultaneously captures these features by generating nonlinear conditional variance for financial data series. This paper examines the application of nonlinear Smooth Transition Generalized Autoregressive Conditional Heteroscedasticity (ST-GARCH) model of Hagerud to share prices of some highly capitalized banks in Nigeria.

Autorentext

A graduate of Statistics who is relatively seasoned in statistical analysis and research and enthusiastic about contributing to the advancement of statistical knowledge for good social and economic decision making.