Gauging The Volatility Level Of Stock Returns In The Nigerian Stock Market
Gauging volatility is an important element in pricing equity, risk management and portfolio management. For these reasons this paper is design to investigate the behavior of stock return volatility of the Nigerian Stock Exchange (NSE) returns using GARCH (1.1). Monthly all share indices as a proxy for stock return of the NSE from January 2003, to December 2014, the paper provided the empirical sample for investigating volatility persistence and asymmetric properties of the series. The results of the GARCH (1,1) model indicate evidence of volatility clustering in the NSE return series. Overall results reveals evidence of volatility persistence for the Nigeria stock returns data. Based on the finding, it was recommended that government should create awareness, and discourage the attitude of buy and hold attitude of investors.
Keyword- GARCH, Volatility, Stock Returns