International records / OpenAlex research

Asymmetric volatility and risk in equity markets: Evidence from nigerian exchange group (ngx)

Objective: The objective of the study is to investigate asymmetric volatility and risk in Nigerian equity markets with the aim of explaining the response of volatility to asymmetric information. Theoretical Framework: In this topic, the main concepts and theories that underpin the research are volatility clustering and leverage effect theories. These theories provide the basis of understanding the persistence of shocks; and the non-linear behaviour of volatility. Method: The study employs ARCH-GARCH, GJR-GARCH and E-GARCH specifications, which were estimated using MLE method. Specifically, dai…