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Modeling the Conditional Variance in the Returns on Nigeria Capital Market Variables Using Multivariate GARCH Models

This study investigates the dynamic volatility, conditional covariance, and spillover effects between key stock market indicators in Nigeria using advanced multivariate econometric techniques. Monthly data on the All-Share Index (ASI) and Market Capitalization (MC) spanning January 1996 to June 2024, comprising 1,799 observations, were obtained from the Central Bank of Nigeria and analyzed using Python-based econometric and machine learning frameworks. The return series were computed using logarithmic differencing and subjected to rigorous diagnostic procedures including descriptive statistics…

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SHA-256 248d736359624d1b663e4cfc8fa098a9a5f44318f142085f0511334f9955af54
from https://iiardjournals.org/get/IJASMT/VOL. 12 NO. 8 2026/Modeling The Conditional Variance 49-60.pdf
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Source	OpenAlex research
Collection	International records
Kind	Document
Publisher	INTERNATIONAL JOURNAL OF APPLIED SCIENCE AND MATHEMATICAL THEORY
Date	2026-09-22
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/10.56201/ijasmt.vol.12.no8.2026pg49.60
Archived copy	Look it up in the Wayback Machine
Record ID	`openalex:W7214037592`

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Modeling the Conditional Variance in the Returns on Nigeria Capital Market Variables Using Multivariate GARCH Models. OpenAlex research, 2026. Vero Archive, record openalex:W7214037592.