Volume 65 | Issue 4 | Year 2019 | Article Id. IJMTT-V65I4P511 | DOI : https://doi.org/10.14445/22315373/IJMTT-V65I4P511
Arum Kingsley.C, Uche Peter .I, "Volatility Modelling using Arch and Garch Models (A Case Study of the Nigerian Stock Exchange)," International Journal of Mathematics Trends and Technology (IJMTT), vol. 65, no. 4, pp. 58-63, 2019. Crossref, https://doi.org/10.14445/22315373/IJMTT-V65I4P511
[1] E.M Ahmed, andZ.S.Suliman, Modeling Stock Market Volatility using GARCH Models Evidence from Sudan, International Journal of Business and Social Sciences, 2(2011), 114-127.
[2] R.F.Engle, Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. inflation, Econometrica, 50(1982), 987- 1007.
[3] T. Bollerslev, Generalized Autoregressive Conditional Heteroskedasticity,Journal of Econometrics, 31(1986), 307-327.
[4] O.A Adekunle, G.O. Salami and O.A. Adedipe, Impact of Financial Sector Development on the Nigerian Economic Growth, American Journal of Business and Management, 2(2013), 347-356.
[5] R.F.Engle and V.Ng, Measuring and Testing the Impact of News on Volatility,Journal of Finance, 48(1993), 1749-1758.
[6] J.Y Campbell,A.W Lo, andA.CMackinlay, The Econometrics of financial Markets, Princeton University Press, Princeton, New Jersey(1997).
[7] T. H Rydberg, Realistic Statistical Modelling of Financial Data, International Statistical Review, 68(2000), 233 – 258.
[8] C.Floros, The use of GARCH models for the calculation of Minimum Capital Risk Requirements: International Evidence, Department of Economics, University of Portsmouth, UK.(2007).
[9] A.C.Arize, ,T.Osang, and D.J Slottje, Exchange Rate Volatility in Latin America and its Impact on Foreign Trade,being a Paper Presented at the Southeast Economic Theory and International Trade Conference, Dallas, Texas (2005).
[10] D.Alberg, H.Shalit, and R .Yosef, Estimating stock market volatility using Asymmetric GARCH models. Applied Financial Economics, 18(2008), 1201-1208.
[11] A.Shamiri, andZ. Isa, Modeling and Forecasting Volatility of the Malaysia Stock Markets. Journal of Mathematics and Statistics 5(2009), 234-240.
[12] J.C.Cryer, andS.C. Kung, Time Series Analysis with Application in R, Springer Text in Statistics (2010).
[13] H. A Glyn, (2014): Value-at-Risk, Theory and Practice, Second Edition, e-book at http://value-at-risk.net.