MODELING THE VOLATILITY FOR LONG TERM INTEREST RATE RETURNS IN THE NIGERIA BOND MARKET USING CONDITIONALY HETEROSCEDASTIC MODELS

Jurnal Wahana Akuntansi

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Title MODELING THE VOLATILITY FOR LONG TERM INTEREST RATE RETURNS IN THE NIGERIA BOND MARKET USING CONDITIONALY HETEROSCEDASTIC MODELS
 
Creator Olaniyan, Sunday
Dallah, Hamadu
 
Subject Volatility Models
Maximum likelihood
Long term interest rate
GED
Bond market
 
Description Investigating the volatility of financial assets is fundamental to risk management. This study used generalized Autoregressive Conditional Heteroscedastic Volatility models to evaluate the volatility of the long term interest rate of Nigeria's financial market. We also incorporated three innovations distributions viz: the Gaussian, the student-t, and the Generalized Error Distribution (GED) in the modeling process under the maximum likelihood estimation method. The results show that GARCH (GED) is the most performing model for describing the volatility of three and twenty-year interest rate returns while TARCH (GED) is the most suitable model for describing the volatility of five and ten-year interest rate returns in Nigeria. The preferred models will help in the development of tools for effective risk management by monitoring the behavior of long term interest rates.
 
 
Publisher Fakultas Ekonomi, Universitas Negeri Jakarta
 
Date 2020-08-05
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://journal.unj.ac.id/unj/index.php/wahana-akuntansi/article/view/15528
10.21009/wahana.15.014
 
Source Jurnal Ilmiah Wahana Akuntansi; Vol 15 No 1 (2020): Jurnal Ilmiah Wahana Akuntansi; 46-56
2302-1810
 
Language eng
 
Relation http://journal.unj.ac.id/unj/index.php/wahana-akuntansi/article/view/15528/9084
 
Rights Copyright (c) 2020 Sunday Olaniyan, Hamadu Dallah
 

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