APPLICATION OF QGARCH MODELS TO NIGERIA INSURANCE STOCKS
Keywords:
QGARCH, Akaike Information Criterion, Insurance Stocks, persistence, half-life.Abstract
This study used QGARCH model to analyze insurance stock in Nigeria. The data used in the
study are daily insurance stocks obtained from Nigeria Stock Exchange for a period of 1961 –
2019. The analysis done in this study were conducted in R-environment using Rugarch package
by Ghalanos and E-view. Four competing QGARCH models such as QGARCH (1,1), QGARCH
(1,2), QGARCH (2,1) and QGARCH (2,2) with student t’s distribution were considered.
However, the model made used of necessary parameters, half-life and persistence to undertake
the study. Model selection was based on Akaike information – criterion (AIC). Although all the
models were fit because their respective values of persistence do not exceed one. In terms of
performance for the distributions QGARCH (1,1) supersedes the rest models with all the
parameters significant. It becomes pertinent that in modeling financial time series of insurance
stocks QGARCH Models should be adopted to be able to obtain an optimum result.
