Modelling and Forecasting of the Nigerian Stock Exchange.

55 Pages Posted: 29 Apr 2021

See all articles by Ibraheem Abiodun Yahayah

Ibraheem Abiodun Yahayah

Wroclaw University of Science and Technology; WorldQuant University

Date Written: September 12, 2020

Abstract

In this research work, we discuss Nigerian stock price and model it using
Variance-Gamma distribution. We compare the model with closely related
distributions and test the goodness of fit. Finally, we compare Nigerian stock
price model with Johannesburg stock exchange model.

Keywords: Variance-Gamma distribution, NSE-30, JTOPI-40, Variance-Gamma process, Laplace distribution.

JEL Classification: C55-Large Data Sets: Modeling and Analysis, C51 - Model Construction and Estimation.

Suggested Citation

Yahayah, Ibraheem Abiodun, Modelling and Forecasting of the Nigerian Stock Exchange. (September 12, 2020). Available at SSRN: https://ssrn.com/abstract=3836115 or http://dx.doi.org/10.2139/ssrn.3836115

Ibraheem Abiodun Yahayah (Contact Author)

Wroclaw University of Science and Technology ( email )

wybrzeże Stanisława Wyspiańskiego 27, 50-370
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Poland
713202905 (Phone)
50-370 (Fax)

WorldQuant University ( email )

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New Orleans, LA 70170
United States

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