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Modelling the Volatility of Banks Interest Rate Returns in Nigeria: A Comparison of the Efficacy of Different GARCH Models

This study examines the modelling of volatility in Nigeria's interest rate returns, comparing various GARCH models. The data used in the study were extracted from the Central Bank of Nigeria’s (CBN) online statistical database on deposit bank interest rates. Both first- and second-order GARCH models were fitted to the data using EViews version 10. The results indicated that the second-order TGARCH (2,2) model provided the best fit for the data. Model selection was based on the Akaike Information Criterion (AIC), and model diagnostics were conducted using the ARCH effect test, QQ-plot, and seri…

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Source	OpenAlex research
Collection	International records
Kind	Document
Publisher	FMDB Transactions on Sustainable Technoprise Letters
Date	2025-09-09
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/10.69888/ftstpl.2025.000446
Archived copy	Look it up in the Wayback Machine
Record ID	`openalex:W4416683461`

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Modelling the Volatility of Banks Interest Rate Returns in Nigeria: A Comparison of the Efficacy of Different GARCH Models. OpenAlex research, 2025. Vero Archive, record openalex:W4416683461.