Stock Price Volatility Modelling with Regimes in Conditional Mean and Variance
Abdulganiyu Salami & Timilehin Olasehinde · Asian Journal of Economics, Business and Accounting · 2021
This study examined the presence and nature of volatility in the Nigerian Stock market. Through a graphical presentation of the Nigerian stock prices, it was observed that there exist two regimes of volatility clustering between the periods of 1985M6 to 1999M12 and 2000M1 to 2018...
Open access
Research Article
10.9734/ajeba/2021/v21i230355