Comparative Forecasting Performance of GARCH and GAS Models in the Stock Price Traded on Nigerian Stock Exchange

International Journal of Mathematical Modelling & Computations

دوره 11، 2 (SPRING) - شماره پیاپی 42، شهریور 2021

نوع مقاله: Full Length Article

شناسه دیجیتال (DOI): 10.30495/ijm2c.2021.684813

نویسندگان

Oluwagbenga Babatunde^{* 1}؛ Serifat Folorunso²؛ Francisco Saliu³

¹Department of Statistics University of Nigeria

²Department of Statistics, Faculty of Science, University of Ibadan

³Department of Statistics, Faculty of Science, University of Ibadan, Nigeria

چکیده

The forecasting performance of different class of volatility models was compared in this work using the daily adjusted close price of traded stocks of the Nigerian Stock Exchange (NSE) from December 10, 2013 to February 07, 2019. The GARCH and EGARCH models were selected from the GARCH models whereas the GAS and EGAS were selected from the GAS models. Two different distributions were assumed for the innovations of the volatility models and forecasts measure was obtained. Based on the forecasts measure which are Mean Error (ME) and Theil Inequality (TI) obtained, the ability the models to forecast future volatilities was achieved. The outcome of this research showed that the GAS model performed better when compared to the GARCH model under the two distributional assumptions in terms of ability to forecast future volatilities of the close price NSE stocks. However, the EGARCH performed better when student-t distribution was assumed.

کلیدواژه‌ها

GAS variants؛ Innovations؛ Probability distribution؛ Forecasts measure