Modeling the Impact of Crude Oil Price Shocks on Some Macroeconomic Variables in Nigeria Using Garch and VAR Models

Isah, Audu

doi:10.11648/j.ajtas.20150405.16

Cited by 4 publications

(3 citation statements)

References 11 publications

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“…The test for normality is done using the Jarque-Bera test statistic. According to Dikko et al (2015), Jarque-Bera could be defined as points test of skewness and Kurtosis to examine whether data series exhibit normal distribution or not. The test statistics was developed by Jarque and Bera (1980).…”

Section: Test For Normalitymentioning

confidence: 99%

Generalized Autoregressive Conditional Heteroscedasticity (Garch) Models and Optimal for Nigerian Stock Exchange

Eriyeva

Okoli

2022

Int. J. Res. Granthaalayah

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This paper focused on comparative performance of GARCH models, ascertaining the best model fit, estimating the parameters and making prediction from optimal model. The study used UBA daily stock exchange prices sourced from the official websites of www.investing.com,on the daily basis of the Nigeria stock exchange rate over a period of ten years from 06/06/2012 – 04/06/2021. Five GARCH models (SGARCH, GJRGARCH or TGARCH, EGARCH, APGARCH and IGARCH) were fitted to the secondary data set of the Nigerian Stock exchange market for the period of June 2012- June 2021 and the results of the findings were obtained. The AIC results were SGARCH (1,1) (-6.1784), GJRGARCH (1,1) (-6.1778), EGARCH (1,1) (-6.1714) , APGARCH (1,1) (-6.1245) and IGARCH(1,1) with the value of AIC -6.1793. The EGARCH (1, 1) was found to be the optimal model with AIC value of -6.1714. The further findings indicated volatility clustering and leverage effect. The result of the analysis equally showed parameter estimates of the EGARCH (1,1) model and all the parameters were significant including mean and alpha. Prediction using the optimal model was made with an initial out of sample of 200 and n ahead of 200 with predicted values within the 95% confidence interval resulting there is no sign of volatility and clustering. Based on the findings of the study, other time series packages should be compared with GARCH models, data should be making available for easy access and investors should be encouraged to invest in United Bank for Africa (UBA, Nigeria).

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Section: Test For Normalitymentioning

confidence: 99%

Generalized Autoregressive Conditional Heteroscedasticity (Garch) Models and Optimal for Nigerian Stock Exchange

Eriyeva

Okoli

2022

Int. J. Res. Granthaalayah

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“…Additionally, real GDP had affected by positive and negative oil price shocks in the short and long term. Isah, Dikko, and Chinyere (2015) investigated the crude oil price shocks effect on some key macroeconomic variables in Nigeria such as GDP, inflation, international trade, money supply, exchange rate and external reserve. The results showed that crude oil price shocks improve the level of GDP.…”

Section: Developing Net Oil Exporting Countriesmentioning

confidence: 99%

The Impact of Oil Price Shocks on Economic Growth - Iraq A Case Study for The Period (1968 - 2019) Using Symmetric and Asymmetric Co-Integration Analysis

2022

QZJ

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This study investigates the symmetry and asymmetry impact of oil price shocks on economic growth for the Iraqi economy during 1968-2019. For this purpose, we utilizing Linear Autoregressive Distributed Lag (ARDL) and Nonlinear Autoregressive Distributed Lag (NARDL). The linear and nonlinear ARDL found that oil price shocks have a positive long-run impact on economic growth, as the F statistics are greater than the critical upper bound in all models. Moreover, the results of NARDL estimators show the asymmetry evidence: the oil price increases(LROILP+) have a greater and significant positive impact on real GDP per

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“…Considering the previous studies [24] utilized quarterly data from 2000 to 2014 to investigate the impact of crude oil shocks on exchange rate, external reserves, gross domestic product, inflation rate, international trade and money supply in Nigeria using GARCH and VAR models. The results of the study showed that oil price shocks did not pose a significant inflationary threat to the Nigerian economy in the short run; rather, it improves the level of gross domestic product.…”

Section: Review Of Literature: Empirical Researchmentioning

confidence: 99%

Changes in Crude Oil Prices and the Flow of Government Revenue

Stella

Chinedu

Idika

2019

SAJSSE

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This work is set out as an investigation into the impact of change in oil prices on government revenue broken into oil and nonoil component. Drawing data from the Central Bank Statistical Bulletin and covering the period 1981 to 2018. The Autoregressive Distributed Lag (ARDL) Model was used because of its advantages over other regression techniques. It was found that changes in oil price affected oil revenue within the studied period leaving no significant impact on nonoil revenue. The result obviously reflects the Nigerian economy and its mono-product characteristic. It is therefore recommended that a conscious policy effort should be made to diversify the economy in a manner that makes revenue to the government multifarious functions.

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Modeling the Impact of Crude Oil Price Shocks on Some Macroeconomic Variables in Nigeria Using Garch and VAR Models

Cited by 4 publications

References 11 publications

Generalized Autoregressive Conditional Heteroscedasticity (Garch) Models and Optimal for Nigerian Stock Exchange

Generalized Autoregressive Conditional Heteroscedasticity (Garch) Models and Optimal for Nigerian Stock Exchange

The Impact of Oil Price Shocks on Economic Growth - Iraq A Case Study for The Period (1968 - 2019) Using Symmetric and Asymmetric Co-Integration Analysis

Changes in Crude Oil Prices and the Flow of Government Revenue

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