Modelling and Forecasting of the Nigerian Stock Exchange.
55 Pages Posted: 29 Apr 2021
Date Written: September 12, 2020
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.
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