2021
DOI: 10.22452/josma.vol3no1.6
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Modelling and Forecasting Volatility of Crude Oil Returns in Nigeria based on Six Error Innovations

Abstract: Modeling price volatility of crude oil (PVCO) is pertinent because of the overbearing impact on any oil-producing economy. This study aimed at evaluating the performance of some volatility models in modeling and forecasting crude oil returns. Utilizing daily returns data from October 23, 2009, to March 23, 2020, this study attempted to capture the dynamics of crude oil price volatility in Nigeria using a symmetric and asymmetric GARCH models. In our research, we considered the generalized autoregressive condit… Show more

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