On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting

作     者：Ngozi G.Emenogu Monday Osagie Adenomon Nwaze Obini Nweze 

作者机构：Department of StatisticsFederal PolytechnicBidaNiger StateNigeria Department of StatisticsNasarawa State Univ ersityKeffiNasarawa StateNigeria 

出 版 物：《Financial Innovation》 (金融创新（英文）)

年 卷 期：2020年第6卷第1期

页      面：347-371页

核心收录：

学科分类：0202[经济学-应用经济学] 02[经济学] 1202[管理学-工商管理] 

主　　题：Volatility Returns Stocks Total petroleum Akaike information criterion(AIC) GARCH Value-at-risk(VaR) Backtesting 

摘      要：This study investigates the volatility in daily stock returns for Total Nigeria Plc using nine variants of GARCH models:sGARCH,girGARCH,eGARCH,iGARCH,aGARCH,TGARCH,NGARCH,NAGARCH,and AVGARCH along with value at risk estimation and *** use daily data for Total Nigeria Plc returns for the period January 2,2001 to May 8,2017,and conclude that eGARCH and sGARCH perform better for normal innovations while NGARCH performs better for student t *** investigation of the volatility,VaR,and backtesting of the daily stock price of Total Nigeria Plc is important as most previous studies covering the Nigerian stock market have not paid much attention to the application of backtesting as a primary *** found from the results of the estimations that the persistence of the GARCH models are stable except for few cases for which iGARCH and eGARCH were ***,for student t innovation,the sGARCH and girGARCH models failed to converge;the mean reverting number of days for returns differed from model to *** the analysis of VaR and its backtesting,this study recommends shareholders and investors continue their business with Total Nigeria Plc because possible losses may be overcome in the future by improvements in stock ***,risk was reflected by significant up and down movement in the stock price at a 99%confidence level,suggesting that high risk brings a high return.