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Volatility in Nigeria Financial markets the impact of Share index on Sustainable Economic Development in Nigeria. Hybrid Approach of GARCH-MIDAS, AND FIGARCH-MIDAS Regressions Models

Author

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  • MU Bawa

    (Lecturer, Department of Mathematics, School of Science, Abubakar Tafawa Balewa University, Bauchi, Nigeria)

  • Dr. HG Dikko

    (Reader Lecturer, Department of Statistics, Ahmadu Bello University, Zaria, Nigeria)

  • Dr. Anil Shabri

    (Associated professor, Deptment of Mathematics School of Science UTM Johor.)

  • Dr. J Garba

    (Senior Lecturer, Department of Statistics, Ahmadu Bello University, Zaria, Nigeria)

  • Dr. S Sadiku

    (Senior Lecturer, Department of Statistics, Ahmadu Bello University, Zaria, Nigeria)

Abstract

This Research considers the Comparison of forecasting performance between hybrid of GARCH-MIDAS and FIGARCH-MIDAS. The data employed for this study was secondary type in nature for all the variables and it is obtained from the publications of Central Bank of Nigerian bulletin, National Bureau of Statistics and World Bank Statistics Database dated, January ,2005 to Dec, 2019 for National Stock Exchange for all share index and seven macro-economic variables. Also, the result of ARCH-LM Test show that the presence of ARCH effects in the NSE series and Jarque- Bera Test indicated that the p-values for all variables are less than alpha level of significance (0.05). Hence, we would reject the null hypothesis that the data of all variables are normally distributed. Also, how we estimate the Fractional difference order, d, by Geweke and Porte-Hudak (GPH) method the results show that the value of d for the (NSE price) was found to be (0.043621) which falls within 0

Suggested Citation

  • MU Bawa & Dr. HG Dikko & Dr. Anil Shabri & Dr. J Garba & Dr. S Sadiku, 2021. "Volatility in Nigeria Financial markets the impact of Share index on Sustainable Economic Development in Nigeria. Hybrid Approach of GARCH-MIDAS, AND FIGARCH-MIDAS Regressions Models," International Journal of Research and Innovation in Applied Science, International Journal of Research and Innovation in Applied Science (IJRIAS), vol. 6(10), pages 61-73, October.
    • Handle: RePEc:bjf:journl:v:6:y:2021:i:10:p:61-73
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