Modelling Petroleum Prices between Garch and Intergeated Garch, (Igarch)
Journal of Advances in Mathematics and Computer Science,
Page 95-101
DOI:
10.9734/jamcs/2021/v36i230341
Abstract
In this paper, the comparison of using garch (1, 1) and intergrated garch, igarch (1, 1) models on petroleum prices will be examined. This time-varying variation of asset returns as the horizon widens about kurtosis and volatility persistence are calculated and the results shows that petroleum prices dynamics submits more to igarch (1, 1) than garch (1, 1) model.
Keywords:
- Modelling
- volatility
- kurtosis
- asset returns
How to Cite
Archibong, M. E., & Essi, I. D. (2021). Modelling Petroleum Prices between Garch and Intergeated Garch, (Igarch). Journal of Advances in Mathematics and Computer Science, 36(2), 95-101. https://doi.org/10.9734/jamcs/2021/v36i230341
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Atoi NV. Testing volatility in Nigeria stock market using GARCH models. CBN Journal of Applied Statistics. 2014;5(2):65-93.
Engle RF. Autoregressive conditional heteroscedasticity with estimates of the variance of the United Kingdom inflation. Econometrics. 1982;50:987-1008.
Bollerslev T. Generalized autoregressive conditional heteroscedasticity. Journal of Econometrics. 1986;31:307-327.
Taylor SJ. Modeling Financial Time Series. New York. John Wiley and Sons lInc; 1986.
Olowe RA. Modeling naira / dollar exchange rate volatility: Application of GARCH and asymmetric models. International Review of Businness Research Papers. 2009;5(3):377–398.
Ade I, Dallah H. Modeling and forecasting the volatility of the daily returns of nigerian insurance stocks. International Business Research. 2010;3(2):106-116.
Emenike KO, Ani WU. Volatility of the banking sector stock returns in Nigeria. Ruhuna Journal of Management and Finance. 2004;1(1):73-82.
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