MODELING THE VOLATILITY FOR SOME SELECTED BEVERAGES STOCK RETURNS IN NIGERIA (2012-2021): A GARCH MODEL APPROACH

Samuel Olorunfemi Adams (), Tanimu Mohammed and Samuel Olorunfemi Adams
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Samuel Olorunfemi Adams: Department of Statistics, University of Abuja, Abuja – Nigeria
Tanimu Mohammed: Department of Statistics, University of Abuja, Abuja – Nigeria
Samuel Olorunfemi Adams: Department of Statistics, University of Abuja, Abuja – Nigeria

Matrix Science Mathematic (MSMK), 2022, vol. 6, issue 2, 41-51

Abstract: The volatility of equity returns for two beverages traded on the Nigerian stock exchange is the subject of this study. The ARCH effect test demonstrated that the two beverages disprove the claim that there is no ARCH effect. According to the preliminary analysis, both beverages were volatile. CGARCH and EGARCH were chosen as the best volatility models for Guinness Nigeria Plc returns and Nigeria Breweries returns, respectively, based on model selection criteria. The EGARCH model, on the other hand, rejected the idea that Guinness Nigeria Plc’s equity returns respond equally to negative and positive shocks of similar magnitude. This study’s findings suggest that the government should be cautious about how it manages inflation and foreign direct investment because they affect the rising stock price. Financial stability will likely be a more direct and explicit part of the macroeconomic responsibilities of central banks in the coming years.

Keywords: ARCH; Beverages; GARCH; Nigeria Stock; Nigeria Breweries; Volatility (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:zib:zbmsmk:v:6:y:2022:i:2:p:41-51

DOI: 10.26480/msmk.02.2022.41.51

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