Modeling and forecasting Daily stock Returns of GT Bank Nigeria plc. Application of ARMA-GARCH Models, Persistences, Half-life Volatility and Backtesting

      Аннотация: In financial time series modelling and forecasting, combining ARMA and GARCH models tend to produce superior and reliable models for volatility persistence, half-life volatility and backtesting (application of model in real life). In Nigeria, banking stocks are mostly traded because of its potential benefits to investors. This study modelled and forecasted the Guaranty Trust (GT) Bank daily stock returns from January 2nd 2001 to May 8th 2017 data set collected from a secondary source. Readers will find this book useful for understanding the volatility of GT Stock returns in Nigeria.

Ключевые слова: Persistences; Half-life; Volatility, Backtesting; ARMA; GARCH; GT Bank; Nigeria