VOLATILITY PERSISTENCE AND ASYMMETRIC SHOCKS IN THE NIGERIAN STOCK MARKET INDEX

Aman Shreevastava, Shahil Raza, Bharat Kumar Meher, Ramona Birau, Virgil Popescu, Gabriela Ana Maria Lupu (filip), Roxana-Mihaela Nioata (chireac), Stefan Margaritescu and Cristina Sultanoiu (patularu)
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Aman Shreevastava: P.G. DEPARTMENT OF COMMERCE AND MANAGEMENT, PURNEA UNIVERSITY, PURNEA, BIHAR, INDIA-854301
Shahil Raza: DEPARTMENT OF COMMERCE, ALIGARH MUSLIM UNIVERSITY, ALIGARH, UTTAR PRADESH 202001, INDIA
Bharat Kumar Meher: P.G. DEPARTMENT OF COMMERCE AND MANAGEMENT, PURNEA UNIVERSITY, PURNEA, BIHAR, INDIA-854301
Ramona Birau: CONSTANTIN BRaNCUsI UNIVERSITY OF TaRGU JIU, FACULTY OF ECONOMIC SCIENCE, TG-JIU, ROMANIA
Virgil Popescu: UNIVERSITY OF CRAIOVA, FACULTY OF ECONOMICS AND BUSINESS ADMINISTRATION, CRAIOVA, ROMANIA
Gabriela Ana Maria Lupu (filip): UNIVERSITY OF CRAIOVA, EUGENIU CARADA DOCTORAL SCHOOL OF ECONOMIC SCIENCES, CRAIOVA, ROMANIA
Roxana-Mihaela Nioata (chireac): UNIVERSITY OF CRAIOVA, DOCTORAL SCHOOL OF ECONOMIC SCIENCES EUGENIU CARADA, CRAIOVA, ROMANIA
Stefan Margaritescu: UNIVERSITY OF CRAIOVA, EUGENIU CARADA DOCTORAL SCHOOL OF ECONOMIC SCIENCES, CRAIOVA, ROMANIA
Cristina Sultanoiu (patularu): UNIVERSITYOF CRAIOVA, DOCTORAL SCHOOL OF ECONOMIC SCIENCES EUGENIU CARADA, CRAIOVA, ROMANIA

Annals - Economy Series, 2025, vol. 6, 174-189

Abstract: This study examines the dynamic volatility of the Nigerian Stock Exchange All-Share Index (NGSEINDEX) daily log returns from October 28, 2015, to October 28, 2025, to provide a statistically sound basis for risk assessment in this critical emerging market. The empirical methodology employed a grid search of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family models under four distributional assumptions. Pre-estimation diagnostics confirmed the series’ mean stationarity and the presence of strong conditional heteroskedasticity. The EGARCH(1,1) model with the Generalized Error Distribution (GED) was selected as the superior specification based on information criteria (AIC=3660.22, BIC=3687.37). The estimation confirmed highly significant volatility persistence (beta[1]=0.8732) resulting in a slow decay half-life of approximately 5.11 trading days, and pronounced leptokurtosis (nu=1.0100), validating the heavy-tailed GED choice. The model exhibited strong out-of-sample predictive power (QLIKE Loss of - 0.4013). These robust findings offer critical implications for portfolio managers, emphasizing the necessity of employing dynamic risk models like Value-at-Risk (VaR) that explicitly account for the observed persistence and heavy-tailed risk structure in the NGSEINDEX.

Keywords: NGSEINDEX; Emerging Markets; GARCH; Volatility Persistence; Asymmetry; Financial Econometrics. (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:cbu:jrnlec:y:2025:v:6:p:174-189

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