Modeling and forecasting daily stock returns of GT Bank Nigeria plc : application of ARMA_GARCH models, persistences, half-life volatility and backtesting Ngozi G. Emenogu, Monday Osagie Adenomon & Nwaze Obinna Nweze

By:

Emenogu, N. G

Contributor(s):

Adenomon, M. O.Nweze, N. O

Material type: Text

TextLanguage: English Publication details: Mauritius LAP LAMBERT Academic Publishing 2019Edition: 1st edDescription: 78 p. 22 cmISBN:

9786139461943

Subject(s):

LOC classification:

HG 4529.N54 E468

Summary: This study modelled & forecasted the Guaranty Trust (GT) Bank daily stock returns from 2 Jan - 8 May,2017 data set collected from a secondary source. The ARMA-GARCH models, persistence, half-life & backtesting were used to analyse the collected data using student t and skewed student t distributions, & the analyses are carried out R environment using rugard & performanceAnayt Packages.

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Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	Lagos Business School Library General Stacks	Non-fiction	HG 4529.N54 E468 (Browse shelf(Opens below))	Available		MON-008557

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Previous	HG 4529 I243 Investment analysis and financial management strategy	HG 4529 J658 Options and future : concepts, strategies and applications	HG 4529 K953 The state holding company : issues and options	HG 4529.N54 E468 Modeling and forecasting daily stock returns of GT Bank Nigeria plc : application of ARMA_GARCH models, persistences, half-life volatility and backtesting	HG 4529 P473 Options	HG 4529 R366 Expectations investing : reading stock prices for better returns	HG 4529 R455 Investment Analysis and portfolio management	Next

This study modelled & forecasted the Guaranty Trust (GT) Bank daily stock returns from 2 Jan - 8 May,2017 data set collected from a secondary source. The ARMA-GARCH models, persistence, half-life & backtesting were used to analyse the collected data using student t and skewed student t distributions, & the analyses are carried out R environment using rugard & performanceAnayt Packages.

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Modeling and forecasting daily stock returns of GT Bank Nigeria plc : application of ARMA_GARCH models, persistences, half-life volatility and backtesting Ngozi G. Emenogu, Monday Osagie Adenomon & Nwaze Obinna Nweze

Browsing Lagos Business School Library shelves, Shelving location: General Stacks, Collection: Non-fiction Close shelf browser (Hides shelf browser)

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