Abstract
This study seeks to model and forecast the stock price market volatility in Nigeria Stock Market. The study covered ten years (2012-2022) of two selected telecommunication companies from enlisted in the Nigeria Stock Exchange and the data was obtained from www.ng.investing.com. From the time series plot it was evidenced that none of the series showed stationarity and differencing was therefore employed as to achieve stationarity. Various ARCH and GARCH models were fitted to the two series and GARCH (1,1) was selected to fit the two series since it has minimum unconditional variance for the two companies Forecasting close stocks showed downtrend in the year 2023 for two stocks. The statistical software’s used in the analysis are Greti and Micro-Excel. Finally, GARCH (1,1) was recommended for future modelling and forecasting of stock price volatility.
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