BAKOLORI JOURNAL OF GENERAL STUDIES

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Ladan, S., B. Dallatu, A., & Faruk, A. Z. (2021). GENERALIZED AUTOREGRESSIVE HETEROSCEDASTIC [GARCH (p, q)] MODELS ON CRUDE OIL PRICES IN NIGERIA. BAKOLORI JOURNAL OF GENERAL STUDIES, 11, 1-2. https://doi.org/10.xxxx/abcd

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Abstract

The paper studied the volatility GARCH (p,q), GARCH(1,1), GARCH (1,2) GARCH(2,1) and GARCH(2,2) models using the data from Central Bank of Nigeria from 2015 to 2020. Akaike information criterion (AIC) and Schwarzt Information criterion was used to determine the optimal forecasting model for the crude oil price in Nigeria. This research aimed at characterizing a good volatility model to forecast and capture the commonly held stylized facts about conditional volatility. These include the persistence in volatility, mean reverting behavior, asymmetric impact of negative versus positive return innovations and the possibility that exogenous or pre-determined variables may have a significant influence on volatility. The GARCH (1,1) model is able to model and forecast better than other competing models. The forecast results show a slight upward movement in the crude oil prices.

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