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Measuring volatility linkage, clustering and sensitivity to external shocks in Nigerian stock index

Recent events in the global economy have further exposed the fear and uneasiness in the minds of investors around the world. The resort to protectionist policies by nations around the world as reaction to the attempt by US President Donald Trump to use higher tariffs to increase his country's share of global trade has made global investors seek safe havens. This paper measures stock market volatility and linkages among three stock markets. EGARCH and TGARCH models were employed in analysing univariate volatility in the indices, while bivariate GARCH (diagonal BEKK) was employed in measuring re…

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Source	OpenAlex research
Collection	International records
Kind	Document
Publisher	International Journal of Financial Services Management
Date	2019-01-01
Type	article
Details	openalex authorships.countries:NG,primary topic.subfield.id:3320\|3321\|3308\|1202\|3303\|3312\|2002\|2000\|2003 + local /\bnige
Found at	https://doi.org/10.1504/ijfsm.2019.102457
Archived copy	Look it up in the Wayback Machine
Record ID	`openalex:W4236780008`

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Measuring volatility linkage, clustering and sensitivity to external shocks in Nigerian stock index. OpenAlex research, 2019. Vero Archive, record openalex:W4236780008.