Yaya, OlaOluwa S.; Akinlana, Damola M.; Shittu, … - In: CBN Journal of Applied Statistics 07 (2016) 2, pp. 137-158
Heteroscedasticity (ST-GARCH) model of Hagerud on prices of banks' shares in Nigeria. The methodology is informed by the failure of the … conventional GARCH model to capture the asymmetric properties of the banks' daily share prices. The asymmetry and non-linearity in … the ST-GARCH models. The impact of news is an important feature that relevant agencies could study so as to be guided …