Abstract
This paper expounds the nitty-gritty of stock returns transitory, periodical behavior of its markets’ demands and cyclical-like tenure-changing of number of the stocks sold. Mingling of autoregressive random processes via Poisson and Extreme-Value-Distributions (Fréchet, Gumbel, and Weibull) error terms were designed, generalized and imitated to capture stylized traits of k-serial tenures (ability to handle cycles), Markov transitional mixing weights, switching of mingling autoregressive processes and full range shape changing predictive distributions (multimodalities) that are usually caused by large fluctuations (outliers) and long-memory in stock returns. The Poisson and Extreme-Value-Distributions Mingled Autoregressive (PMA and EVDs) models were applied to a monthly number of stocks sold in Nigeria from 1960 to 2020. It was deduced that fitted Gumbel-MAR (2:1, 1) outstripped other linear models as well as best fitted among the Poisson and Extreme-Value-Distributions Mingled autoregressive models subjected to the discrete monthly stocks sold series.
Highlights
Volume traded and volatility are two key concepts in finance and marketing/trading of stock
Mingling of autoregressive random processes via Poisson and Extreme-Value-Distributions (Fréchet, Gumbel, and Weibull) error terms were designed, generalized and imitated to capture stylized traits of k-serial tenures, Markov transitional mixing weights, switching of mingling autoregressive processes and full range shape changing predictive distributions that are usually caused by large fluctuations and long-memory in stock returns
The Poisson and Extreme-Value-Distributions Mingled Autoregressive (PMA and EVDs) models were applied to a monthly number of stocks sold in Nigeria from 1960 to 2020
Summary
Volume traded and volatility are two key concepts in finance and marketing/trading of stock. As bull market is concerned, a comparatively eminent volume will be uniting with an agreed price alteration compared to bear market settings It is with this reason some technical analysts gave a verdict that less significance should be given to raise price associated with relatively low marketing volume compared to rising in similar price as well as significant volume [2]. Trading volume in relation to its volatility has provided deep introspection into cohesive buildup of financial markets that was found to provide insight as per magnitude or relative frequency of information fluxed in the mart place, constituted short stock market, market expansion, and level to which prices manifest needed info by the public [3]
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