Modeling the Volatility of Share Price Returns of Firstbank of Nigeria - Akpan, Emmanuel
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Time varying volatility with persistent dynamics is a regular occurrence in financial time series and it is so common that every asset return series seems to exhibit this feature. The causes of variation in asset returns could be traced to political, economic and financial factors. Also, the existence of volatility in financial time series always lead to violation of assumption of constant variance in linear time series modeling. Therefore, the linkages between the occurrence of volatility in financial time series and the violation of assumption of constant variance in linear time series have…mehr

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Produktbeschreibung
Time varying volatility with persistent dynamics is a regular occurrence in financial time series and it is so common that every asset return series seems to exhibit this feature. The causes of variation in asset returns could be traced to political, economic and financial factors. Also, the existence of volatility in financial time series always lead to violation of assumption of constant variance in linear time series modeling. Therefore, the linkages between the occurrence of volatility in financial time series and the violation of assumption of constant variance in linear time series have created a vast research area for professionals in Statistics, Economics and Finance. This book, thus, contributes towards providing a non-linear (ARCH/GARCH) model for modeling the volatility of share price returns of Firstbank of Nigeria Plc while incorporating the effects of 2004 bank restructuring and global financial crisis on the share price returns of Firstbank of Nigeria Plc.
Autorenporträt
Emmanuel Akpan is a native of Utu-Midim in Akwa Ibom State, Nigeria. He earned his B.Sc and M.Sc in statistics at University of Uyo. He is currently working with Federal School of Medical Laboratory Technology (Science), Jos, Plateau State, Nigeria as an officer of Planning, Research and Statistics. Also, a lecturer of Mathematics and Statistics.