Journal of Economics and Sustainable Development www.
iiste.
org
ISSN 2222-1700 (Paper) ISSN 2222-2855 (Online)
Vol.
2, No.
10, 2011
28 | P a g e
www.
iiste.
org
Stock Market Volatility and Macroeconomic Variables
Volatility in Nigeria: An Exponential GARCH...
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Journal of Economics and Sustainable Development www.
iiste.
org
ISSN 2222-1700 (Paper) ISSN 2222-2855 (Online)
Vol.
2, No.
10, 2011
28 | P a g e
www.
iiste.
org
Stock Market Volatility and Macroeconomic Variables
Volatility in Nigeria: An Exponential GARCH Approach
Isiaq Olasunkanmi Oseni1
*, Philip Ifeakachukwu Nwosa
2
1.
Department of Economics, Accounting & Finance, Bells University of Technology, P.
M.
B 1015,
Ota
2.
Department of Economics, Accounting & Finance, Bells University of Technology, P.
M.
B.
1015
Ota
*E-mail of the corresponding author: osenibells@ymail.
com
Abstract
This study employed AR (k)-EGARCH (p, q) technique to examine the volatility in stock market and
macroeconomic variables, and used LA-VAR Granger Causality test to analyze the nexus between stock
market volatility and macroeconomic variables volatility in Nigeria for the periods 1986 to 2010 using
time-series data.
The results of the findings revealed that there exists a bi-causal relationship between
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