Saturday, October 22
Sat, Oct 22, 5:20 PM - 6:20 PM
Salon 2
Salon 2
Speed Session 6
Markov Switching ARCH model of Stock Market Volatility in Nigeria (303265)
*Idowu Eunice Olushola, Yaba College of TechnologyOnasanya Olanrewaju Kolawole, Nigerian Teachers' Institute
Keywords: All Share Index, GARCH, Markov switching ARCH model, Nigerian Stock Exchange, Volatility
This paper attempts to fit the Markov Switching ARCH model to the Nigerian Stock market to look for continuous increase in stock returns volatility, what period will the volatility show 'stability within the regimes' and the trend pattern states over time. Results were compared with GARCH models. Results showed that Markov Switching ARCH model was the best predictive model for stock index based on the forecasting measuring tools (Mean absolute error,Mean absolute percentage error, Root mean square and Theil's inequality).