Insurgence News Asymmetry and Volatility of Equity Performance in Nigeria: An Aparch Approach


International Research Journal of Economics and Management Studies
Β© 2023 by IRJEMS
Volume 2  Issue 1
Year of Publication : 2023
Authors : Omokehinde, Joshua Odutola
irjems doi : 10.56472/25835238/IRJEMS-V2I1P138

Citation:

Omokehinde, Joshua Odutola. "Insurgence News Asymmetry and Volatility of Equity Performance in Nigeria: An Aparch Approach" International Research Journal of Economics and Management Studies, Vol. 2, No. 1, pp. 294-301, 2023.

Abstract:

The study examines the nexus between insurgence news and volatility of equity returns in Nigeria from January 2018 to June 2022 using Asymmetry Power Autoregressive Conditional Heteroskedastic (APARCH) by Ding, Granger, and Engle (1993) with Generalized Error Distribution. The results showed that the asymmetric parameter, Gamma or sign effect, (Ξ³_1) is negative (-0.156480) and statistically not significant at (12.01%) level, indicating that insurgence news did not have an asymmetric effect on the volatility of equity returns. However, (Ξ³_2), the Delta or magnitude effect, demonstrates that insurgence news have a positive (1.042523) and significant symmetric effect on volatility of equity returns. The sum of the ARCH and GARCH coefficients indicated by 𝛼𝑗 +𝛽𝑖 (0.981815) tested the volatility persistence (clustering hypothesis) in the absence of asymmetric effect and is relatively homogenous and approximately close to unity which suggests that the volatility was persistent and that large and small change in the market are followed by large and small change in different directions. The Autoregressive Fractionally Integrated Moving Average (ARFIMA), which has a positive coefficient of 0.045683 and is statistically significant at the 1% level, indicated that the market has long-memory processes and that the autocorrelation functions decay slowly. These findings also showed that the volatility persistence will take a longer period to attenuate.

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Keywords:

Asymmetric, Volatility, APARCH, insurgence, Terrorists, Fractionally Integrated.