Garch modeling of Nigerian stock exchange market capitalization
Author(s): Anyamele Godspower Awuzuruike and Stanley Onyedikachi Cynthia
Abstract: The contribution of stock exchange market to the growth of the Nigeria economy is never in doubt. However, it has been seen that volatility in stock exchange market may trigger in increase in cost of capitalization which is capable of affecting economic growth in Nigeria. This may have implication for portfolio allocation and market risk measure. But this research is based on GARCH Modelling of Nigerian Stock Exchange Market Capitalization1. GARCH and ARIMA models were chosen to model the Nigeria Stock Exchange Market Capitalization Series. Model selection techniques were applied to obtain the best fit model for the series. GARCH (1,1) and ARIMA (3,1,3) models were identified as better fitted models to the data sets and diagnostic test was carried to ascertain the adequacy of the fitted model. The experimental analysis was performed in different algorithm using ARIMA (3,1,3) and GARCH (1,1) models respectively and results were obtained. The study proves that GARCH (1,1) estimate were found more appropriate and better fit model to describe the volatility of the Nigeria Stock Exchange Market Capitalization, since it has lower Akaike Information Criterion (AIC)and Schwarz Information Criterion (SIC).
Anyamele Godspower Awuzuruike, Stanley Onyedikachi Cynthia. Garch modeling of Nigerian stock exchange market capitalization. Int J Stat Appl Math 2025;10(10):111-117. DOI: 10.22271/maths.2025.v10.i10b.2189
