Volatility in Nigeria Financial markets the impact of Share index on Sustainable Economic Development in Nigeria. Hybrid Approach of GARCH-MIDAS, AND FIGARCH-MIDAS Regressions Models

Bawa Mu, Dr. HG Dikko, Dr. Anil Shabri, Dr. J Garba and Dr. S Sadiku
Additional contact information
Bawa Mu: Lecturer, Department of Mathematics, School of Science, Abubakar Tafawa Balewa University, Bauchi, Nigeria
Dr. HG Dikko: Reader Lecturer, Department of Statistics, Ahmadu Bello University, Zaria, Nigeria
Dr. Anil Shabri: Associated professor, Deptment of Mathematics School of Science UTM Johor.
Dr. J Garba: Senior Lecturer, Department of Statistics, Ahmadu Bello University, Zaria, Nigeria
Dr. S Sadiku: Senior Lecturer, Department of Statistics, Ahmadu Bello University, Zaria, Nigeria

International Journal of Research and Innovation in Applied Science, 2021, vol. 6, issue 10, 61-73

Abstract: This Research considers the Comparison of forecasting performance between hybrid of GARCH-MIDAS and FIGARCH-MIDAS. The data employed for this study was secondary type in nature for all the variables and it is obtained from the publications of Central Bank of Nigerian bulletin, National Bureau of Statistics and World Bank Statistics Database dated, January ,2005 to Dec, 2019 for National Stock Exchange for all share index and seven macro-economic variables. Also, the result of ARCH-LM Test show that the presence of ARCH effects in the NSE series and Jarque- Bera Test indicated that the p-values for all variables are less than alpha level of significance (0.05). Hence, we would reject the null hypothesis that the data of all variables are normally distributed. Also, how we estimate the Fractional difference order, d, by Geweke and Porte-Hudak (GPH) method the results show that the value of d for the (NSE price) was found to be (0.043621) which falls within 0

Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.rsisinternational.org/journals/ijrias/ ... 6-issue-10/61-73.pdf (application/pdf)
https://www.rsisinternational.org/virtual-library/ ... 051938702.1694191524 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bjf:journl:v:6:y:2021:i:10:p:61-73

Access Statistics for this article

International Journal of Research and Innovation in Applied Science is currently edited by Dr. Renu Malsaria

More articles in International Journal of Research and Innovation in Applied Science from International Journal of Research and Innovation in Applied Science (IJRIAS)
Bibliographic data for series maintained by Dr. Renu Malsaria ().