Yaya, OlaOluwa S. - In: CBN Journal of Applied Statistics 04 (2013) 2, pp. 69-85
This paper attempts to fit the best Generalized Autoregressive Conditional Heteroscedastic (GARCH) model for All Share … Index (ASI) of Nigerian Stock Exchange (NSE) returns. A search is made on various GARCH variants specified on the … and non-normality of GARCH innovations, with models and forecasts evaluated using information criteria and loss functions …