Modeling Heteroscedasticity of Discrete-Time Series in the Face of Excess Kurtosis

Modeling Heteroscedasticity of Discrete-Time Series in the Face of Excess Kurtosis

Emmanuel Alphonsus Akpan

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α Abubakar Tafawa Balewa University

Modeling Heteroscedasticity of Discrete-Time Series in the Face of Excess Kurtosis

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Abstract

To tackle the influence of excess kurtosis (which is on the distributions of the innovations, this study considered the presence of outliers in the data on daily closing prices of shares of Skye Bank, January 03, 2006 to November 24, 2016. The data consist of 2690 from the Nigerian Stock Exchange website. Our findings revealed that GARCH(1,1) model normal distribution, EGARCH(1,1) model under normal distribution and EGARCH(1,1) model under student-t distribution fitted adequately to the returns of Skye Bank, Sterling Bank, and Zenith Bank, respectively. However, all the values of 132. 8707, 80.3030, and 26.3794, respectively.

References

18 Cites in Article

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Funding

No external funding was declared for this work.

Conflict of Interest

The authors declare no conflict of interest.

Ethical Approval

No ethics committee approval was required for this article type.

Data Availability

Not applicable for this article.

How to Cite This Article

Emmanuel Alphonsus Akpan. 2018. \u201cModeling Heteroscedasticity of Discrete-Time Series in the Face of Excess Kurtosis\u201d. Global Journal of Science Frontier Research - F: Mathematics & Decision GJSFR-F Volume 18 (GJSFR Volume 18 Issue F7): .

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GJSFR Volume 18 Issue F7
Pg. 21- 32

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Journal Specifications

Crossref Journal DOI 10.17406/GJSFR

Print ISSN 0975-5896

e-ISSN 2249-4626

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Classification

GJSFR-F Classification: FOR Code: MSC 2010: 37M10

Submission ReceivedSeptember 5, 2018
Peer Review Double Blind
Handling Editor
Accepted October 2, 2018
Published October 14, 2018

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Issue date

October 15, 2018

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Article Matrices

Total Score: 101

Country: Nigeria

Subject: Global Journal of Science Frontier Research - F: Mathematics & Decision

Authors: Emmanuel Alphonsus Akpan (PhD/Dr. count: 0)

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