MODELLING THE VOLATILITY OF COTTON AND RUBBER STOCK RETURNS IN NIGERIA USING GARCH TYPE MODELS

Adams, S.O. & Bello, J.O. (2022). Modeling the Effect of Crude Oil Production and Other Factors on Nigeria Economy: An Autoregressive Distributed Lag Approach, Science Archives, 3(1), 72-79. http://dx.doi.org/10.47587/SA.2022.3109 DOI: https://doi.org/10.47587/SA.2022.3109

Adams, S.O., Zubair, M.A. & Ezike, M.F. (2023). Mathematical Modeling of the Price Volatility of Maize and Sorghum between 1960 and 2022, Journal of Mathematical Letters, 1(1), 119. https://doi.org/10.31586/jml.2023.801 DOI: https://doi.org/10.31586/jml.2023.801

Adams. S.O., Asemota, O.J. and Ibrahim, A. A. (2024). Asymmetric GARCH Type Models and LSTM for Volatility Characteristics Analysis of Nigeria Stock Exchange Returns, American Journal of Mathematics and Statistics, 4(2), 17-32. https://doi.org/10.5923/j.ajms.20241402.01

Adebiyi, M. A., Masih, M., & Ogebe, J. O. (2014). Volatility spillovers and asymmetric effects among the Nigerian stock market and some foreign stock markets. International Journal of Economics, Commerce and Management, 2(9), 1-14.

Adebiyi, M. A., Osuolale, K. O., & Osuolale, B. O. (2014). Volatility spillover between stock market and foreign exchange market: Evidence from Nigeria. International Journal of Economics, Commerce and Management, 2(12), 1-16.

Ajayi, S. I., & Aladesulu, A. (2018). Modeling and forecasting stock market volatility in Nigeria: Evidence from GARCH models. African Journal of Economic Review, 6(2), 39-54.

Ajayi, A., Adams, S.O., Akano, R.O. (2019). Modelling Nigeria Naira Exchange Rate against some selected Countrys Currencies Volatility: Application of GARCH Model. Asian Journal of Probability and Statistics, 5(1), 1 13. https://doi:10.9734/AJPAS/2019/v5i130128. DOI: https://doi.org/10.9734/ajpas/2019/v5i130128

Akpokodje, G., & Osamwonyi, I. (2012). Modelling stock market volatility using GARCH models: Evidence from the Nigerian stock exchange. African Journal of Business Management, 6(24), 7170-7180.

Akpokodje, G., & Osamwonyi, I. (2012). Volatility dynamics and leverage effects in the Nigerian Stock Exchange: A GARCH approach. Research Journal of Finance and Accounting, 3(1), 1-14.

Alexander, C. (2008). Market risk analysis: Practical financial econometrics (Vol. 2). John Wiley & Sons.

Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2003). Micro effects of macro announcements: Real-time price discovery in foreign exchange, American Economic Review, 93(1), 38-62. DOI: https://doi.org/10.1257/000282803321455151

Anwar, Sajid & Beg, Rabiul. (2012). Detecting Volatility Persistence in GARCH Models in the presence of Leverage Effect: A New Approach, Quantitative Finance. 14. https://doi.org/10.1080/14697688.2012.716162 DOI: https://doi.org/10.1080/14697688.2012.716162

Awujola., A., Adams, S.O., Alumbugu, A.I. (2015). Oil Exportation and Economic Growth in Nigeria. Developing Country Studies, 5(15), 1-15.

Azevedo, V., Kaiser, G. S., & Mller, S. (2023). Stock market anomalies and machine learning across the globe, Journal of Asset Management, 24, 419-441. DOI: https://doi.org/10.1057/s41260-023-00318-z

Benavente, S. (2022). Portfolio Performance. SSRN Electronic Journal. DOI: https://doi.org/10.2139/ssrn.4167255

Kumar, S. (2022). Introduction to Risk Management. SSRN Electronic Journal. DOI: https://doi.org/10.2139/ssrn.4123419

Bilgili, F., Ulucak, R., Koak, E., & lkay, S. (2019). Does globalization matter for environmental sustainability? Empirical investigation for Turkey by Markov regime switching models, Environmental Science and Pollution Research, 27, 1078-1100. https://doi.org/10.1007/s11356-019-06996-w DOI: https://doi.org/10.1007/s11356-019-06996-w

Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31(3), 307-327. DOI: https://doi.org/10.1016/0304-4076(86)90063-1

Bollerslev, T., & Ghysels, E. (1996). Periodic autoregressive conditional heteroskedasticity, Journal of Business & Economic Statistics, 14(2), 139-151. DOI: https://doi.org/10.1080/07350015.1996.10524640

Caporale, G. M., & Pittis, N. (2019). Volatility forecasting: A review and comparison of recent models, Journal of Economic Surveys, 33(1), 144-174.

CBN (2023). Central Bank of Nigeria Annual Statistical Bulletin. Debt, Inflation and Financial Indicators. cbn.gov.ng

Chan, J. Y.L., Phoong, S., Cheng, W.K., & Chen, Y.L. (2023). The Bitcoin Halving Cycle Volatility Dynamics and Safe Haven-Hedge Properties: A MSGARCH Approach. Mathematics. DOI: https://doi.org/10.3390/math11030698

Christoffersen, P. (2012). Elements of financial risk management. Academic Press. DOI: https://doi.org/10.1016/B978-0-12-374448-7.00011-7

Dewi, D. N., Murhadi, W., & Sutejo, B. (2023). Financial Ratios, Corporate Governance, and Macroeconomic Indicators in Predicting Financial Distress. International Journal of Professional Business Review. DOI: https://doi.org/10.55908/sdgs.v11i4.893

Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers, International Journal of Forecasting, 28(1), 57-66. DOI: https://doi.org/10.1016/j.ijforecast.2011.02.006

Ding, Z., Granger, C. W., & Engle, R. F. (2014). A long memory property of stock market returns and a new model, Journal of Empirical Finance, 22, 1-18.

Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007. DOI: https://doi.org/10.2307/1912773

Engle, R. F., Lilien, D. M., & Robins, R. P. (1987). Estimating time varying risk premia in the term structure: The ARCH-M model, Econometrica: Journal of the Econometric Society, 55(2), 391-407. DOI: https://doi.org/10.2307/1913242

Garcin, M. (2023). Complexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis, Statistical Finance, https://doi.org/10.48550/arXiv.2305.13123 DOI: https://doi.org/10.1515/9783110987584-024

Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks, The Journal of Finance, 48(5), 1779-1801. DOI: https://doi.org/10.1111/j.1540-6261.1993.tb05128.x

Gujarati DN and Porter CD (2009). Basic Econometrics (5th Edition). McGraw-Hill, New York.

Hansen, P. R., & Lunde, A. (2016). Forecasting volatility with GARCH models: A review, Journal of Economic Literature, 54(2), 615-622.

Ibrahim, U., & Isiaka, A. (2020). Effect of Financial Leverage on Firm Value: Evidence From Selected Firms Quoted on the Nigerian Stock Exchange, European Journal of Business and Management.12(3), 124-135. https://doi.org/10.7176/EJBM/12-3-16 DOI: https://doi.org/10.7176/EJBM/12-3-16

Johansen, S. (1991) Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, 59, 1551-1580. http://dx.doi.org/10.2307/2938278 DOI: https://doi.org/10.2307/2938278

Kehinde, A. O., Lawal, A. I., & Mohammed, S. A. (2021). Stock market volatility modeling in Nigeria: Evidence from GARCH models. Journal of Applied Economic Sciences, 16(1), 23-36.

Lakshmi K. & Basmah A. T., (2014). Macroeconomic Forces and Stock Prices: Some Empirical Evidence from Saudi Arabia, International Journal of Financial Research, International Journal of Financial Research, 5(1), 81-92. DOI: https://doi.org/10.5430/ijfr.v5n1p81

Liu, F., Umair, M., & Gao, J. (2023). Assessing oil price volatility co-movement with stock market volatility through quantile regression approach. Resources Policy. DOI: https://doi.org/10.1016/j.resourpol.2023.103375

McAleer, M., & Medeiros, M. C. (2008). Realized volatility: A review, Econometric Reviews, 27(1-3), 10-45. DOI: https://doi.org/10.1080/07474930701853509

McNeil, A. J., Frey, R., & Embrechts, P. (2015). Quantitative risk management: Concepts, techniques, and tools (Vol. 1). Princeton University Press.

Mohammed, T., Yahaya, H.U., Adams, S.O. (2022). Modeling the Volatility for Some Selected Beverages Stock Returns in Nigeria (2012-2021): A GARCH Model Approach, Matrix, Science Mathematic (MSMK), 6(2), 41-50. https://doi.org/10.26480/msmk.02.2022.41.50 DOI: https://doi.org/10.26480/msmk.02.2022.41.51

Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 59(2), 347-370. DOI: https://doi.org/10.2307/2938260

Nguyen, T. C., Castro, V., & Wood, J. (2022). A new comprehensive database of financial crises: Identification, frequency, and duration. Economic Modelling, 108. https://doi.org/10.1016/j.econmod.2022.10.5770 DOI: https://doi.org/10.1016/j.econmod.2022.105770

Nie, W.P., Zhao, Z.-D., Cai, S., & Zhou, T. (2020). Simulating two-phase taxi service process by random walk theory. Chaos, 30(12), 123-141. DOI: https://doi.org/10.1063/5.0021101

Nyakurukwa, K., & Seetharam, Y. (2023). Alternatives to the efficient market hypothesis: an overview, Journal of Capital Markets Studies. 7(2), 111-124. https://doi.org/10.1108/JCMS-04-2023-0014 DOI: https://doi.org/10.1108/JCMS-04-2023-0014

Ogbonna, A., & Ilo, A. (2016). Intraday volatility patterns in the Nigerian Stock Exchange: Evidence from GARCH modeling, African Journal of Economic and Management Studies, 7(3), 372-386.

Ogbonna, A., & Ilo, B. (2016). Intraday volatility patterns in the Nigerian stock exchange, CBN Journal of Applied Statistics, 7(1), 1-20.

Ogunde, A. A., & Nwokoma, N. (2019). GARCH modeling of stock market volatility in Nigeria, Journal of Accounting, Finance and Auditing Studies, 5(2), 68-81.

Olugbenga, A. J., & Dada, J. O. (2019). Sectoral volatility and risk assessment in the Nigerian Stock Exchange: Evidence from GARCH models, Journal of Financial Risk Management, 8(2), 71-85.

Olugbenga, A. O., & Dada, E. T. (2019). Sectoral analysis of stock market volatility in Nigeria: Evidence from GARCH models, Journal of Accounting, Finance, and Auditing Studies, 5(1), 55-67.

Omorokunwa, O.G., & Ikponmwosa, N. (2014). Exchange Rate Volatility and Foreign Private Investment in Nigeria, Asian Journal of Business and management, 6, 146-154. DOI: https://doi.org/10.19026/ajbm.6.5157

Onalo, P. A., & Adeleke, A. A. (2011). Modeling and forecasting volatility in the Nigerian stock market, International Journal of Business and Social Science, 2(6), 159-167.

Onyinye, I. U., & Nwude, E. C. (2017). Modeling volatility of stock returns in the Nigerian Stock Exchange using GARCH models, Journal of Economics and Financial Analysis, 1(1), 24-37.

Oyeniyi, O. J., Oyetade, A. O., & Adereti, S. A. (2020). Forecasting stock market volatility in Nigeria using GARCH models, Journal of Finance and Investment Analysis, 9(2), 59-73.

Poon, S. H., & Granger, C. W. (2003). Forecasting volatility in financial markets: A review, Journal of Economic Literature, 41(2), 478-539. DOI: https://doi.org/10.1257/jel.41.2.478

Shabbir, M., Said, L. R., Pelit, I., & Irmak, E. (2023). The Dynamic Relationship among Domestic Stock Returns Volatility, Oil Prices, Exchange Rate and Macroeconomic Factors of Investment, International Journal of Energy Economics and Policy.13(3), 560-565. https://doi.org/10.32479/ijeep.14263 DOI: https://doi.org/10.32479/ijeep.14263

Taylor, S. J. (1986). Modelling financial time series. John Wiley & Sons.

Umar, M. A., & Muhammad, I. (2019). Modeling the volatility of stock returns in the Nigerian Stock Exchange using GARCH models, Journal of Economics and Finance, 10(1), 21-30.

Wang, J. (2021). A New Capital Asset Pricing Model with GARCH-type Volatility and Asymmetric Exponential Power Distribution Error Terms. In 2021 International Conference on Computer, Blockchain and Financial Development (CBFD). DOI: https://doi.org/10.1109/CBFD52659.2021.00011

Yadudu, M. A. (2021). Investigating the impact of widening price limits on volatility: the experience of the Nigerian Stock Exchange, Bullion, 44(1), 1-6.

Yahaya, H. U., Oyinloye, J. S., & Adams, S. O. (2022). Modeling and Forecasting Cryptocurrency Returns and Volatility: An Application of GARCH Models, Universal Journal of Finance and Economics, 2(1), 7190. https://doi.org/10.31586/ujfe.2022.497 DOI: https://doi.org/10.31586/ujfe.2022.497

Zhang, J., Zhu, F., & Chen, H. (2023). Two-Threshold-Variable Integer-Valued Autoregressive Model, Mathematics. DOI: https://doi.org/10.3390/math11163586

Zivot, E., & Wang, J. (2006). Modeling financial time series with S-PLUS, Springer Science & Business Media.