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This study provides evidence of the impact of COVID-19 on five (5) Nigerian Stock Exchange (NSE) sectorial stocks (NSE Insurance, NSE Banking, NSE Oil and Gas, NSE Food and Beverages, and NSE Consumer Goods). To achieve the goal of this paper, daily stock prices were obtained from a secondary source ranging from 2 January 2020 to 25 March 2021. Because of the importance of incorporating structural breaks in modelling stock returns, the Zivot–Andrews unit root test revealed 20 January 2021, 26 March 2020, 27 July 2020, 23 March 2020 and 23 March 2020 as potential break points for NSE Insurance, NSE Food, Beverages and Tobacco, NSE Oil and Gas, NSE Banking, and NSE Consumer Goods, respectively. This study investigates the volatility in daily stock returns for the five (5) Nigerian Stock Exchange (NSE) sectorial stocks using nine versions of GARCH models (sGARCH, girGARCH, eGARCH, iGARCH, aPARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH); in addition, the half-life and persistence values were obtained. The study used the Student t- and skewed Student t-distributions. The results from the GARCH models revealed a negative impact of COVID-19 on the NSE Insurance, NSE Food, Beverages and Tobacco, NSE Banking, and NSE Consumer Goods stock returns; however, the NSE Oil and Gas returns showed a positive correlation with the COVID-19 pandemic. This study recommends that the shareholders, investors, and policy players in the Nigerian Stock Exchange markets should be adequately prepared in the form of diversification of investment in stocks that can withstand future possible crises in the market. [ABSTRACT FROM AUTHOR]

This paper aimed at modelling the volatility of monthly average official exchange rate (Naira/USD) using the Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) for the period January, 1981 to December, 2021. The data for the study was obtained from Central Bank of Nigeria 2021 Statistical Bulletin. The time plot, Augmented Dickey Fuller (ADF) and Phillip's Perron (PP) were used to check for the Stationarity of the Series. It was discovered that the series is not stationary, thus the need for differencing to make it stationary. Based on the findings of the study, it was concluded that the ARIMA (0, 2,2) and GARCH (1,1) with Student's t-distribution are the optimal models for modeling monthly average official exchange rates return (Naira/USD) in Nigeria. [ABSTRACT FROM AUTHOR]

Information guides and strategies for ensuring consistent profiting from the stock market abound almost everywhere from magazines to professional journals and the internet. This mass volume of information sometimes confuses the investor who finds it difficult to sift the right strategy to use to be able to make a meaningful decision. This calls for the role of an artificially intelligent system that can use its knowledge base, proven algorithm coupled with an interactive and user-friendly interface to make an efficient and informed decision. In this paper, the researchers developed a framework for the prediction of stock prices for stocks listed in the Nigeria Stock Exchange. The research focuses on the applicability of an artificial intelligence-based model in the prediction of stock prices in the Nigeria market. Artificial Neural Network (ANN), Autoregressive Integrated Moving Average and (ARIMA) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models were considered as individual agents in the experiment. Mean Absolute Error (MAE) Mean Square Error (MSE) and Mean Absolute Percentage Error (MAPE) evaluation metrics were used to evaluate the performance of the system with ten stocks from the Nigeria Stock Exchange. The results obtained prove that any of these methods can be used to predict stocks with over 90% accuracy level. An integrated system which promises to have a better prediction value is proposed. [ABSTRACT FROM AUTHOR]

Aim/purpose - This paper examines the relationship between exchange rate volatility and industrial output growth in Nigeria. In spite of the massive revenue emanating from oil wealth, Nigeria has wallowed in intergenerational poverty due to the inability to grow its industrial sector. The dilemma of exchange rate allowed growth of the industrial sector to become enormous. As such, this paper attempts a quantitative analysis of industrial output growth in Nigeria as predicted by an exchange rate volatility using a time series data from the exchange rate and the industry value added from 1986 through 2017. Design/methodology/approach - This paper adopts a quantitative analysis of exchange rate volatility as a predictor of changes in industrial output in Nigeria. Monthly Data on exchange rate from 1986 through 2017 were first analysed to show for their clustering behaviour. Thus, ascertaining whether they are volatile or not. The study employs AR(k)-EGARCH(p,q) models for the calculation of volatility in the growth rate of nominal exchange rates. Then the paper adopts the Auto-Regressive Distributed Lag Approach to account for the long-run and short-run dynamics of industrial output in Nigeria as induced by volatility in the exchange rate for different regimes under the scope. Findings - The findings reveal that the real exchange rate volatility determines industrial production as well as availability of foreign exchange increments arising from the various export drives contributing tremendously to the increase in the industrial output in Nigeria. It is further revealed that the capacity utilisation ratio was low. Research implications/limitations - Established evidence of low capacity utilisation may be due to the epileptic power supply, inadequate technological know-how. As such, the government should maintain a flexible exchange rate system to maximally harness the benefits of growth emanating from the industrial sector. Originality/value/contribution - The paper specifically offers an experimental proof to the underlying relationship between industrial output and exchange rate volatility in Nigeria. Previous studies reviewed in the literature have mostly focused on the growth effect of the exchange rate neglecting the important nexus it shares with the industrial sector (a bedrock of sustainable development). [ABSTRACT FROM AUTHOR]

Aim/purpose - Exchange rate volatility has remained a serious issue affecting economic stability, especially in developing countries. Thus, this study aimed at examining the impact of exchange rate volatility on economic growth in Nigeria. Design/methodology/approach - The study employed the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and the system Generalized Method of Moments (GMM) technique to analyse the time series data from the period January 1980 to December 2017. The study used the Augmented Dickey-Fuller and Philips-Perron tests to determine the presence of a unit root and the Johansen co-integration test to establish the relationship among the variables in the study. Findings - The results of the estimates offer evidence that exchange rate volatility persists throughout the study period, and has a negative and significant effect on the economic growth of Nigeria. This result suggests that excessive volatility due to low inflows is inimical to the growth of the Nigeria economy. The findings of the study demonstrate a negative and significant relationship between inflation and economic growth. Moreover, while credit to the private sector and crude oil prices exerts positive and significant relationship with growth, the relationship between money supply, trade openness and government expenditure and economic growth is positive but insignificant. Research implications/limitations - Therefore, it is important for the government to pursue policies and programs that would help ensure exchange rate stability and boost local production for both consumption and export. In addition, a holistic program of economic reforms is important to complement the exchange rate policy and stimulate economic growth. Originality/value/contribution - The study shed some light on exchange rate volatility and confirmed its adverse effect and the importance of a stable environment on economic growth. In addition, the study introduced crude oil prices as a variable to the study of exchange rate volatility and economic growth from a developing country perspective. [ABSTRACT FROM AUTHOR]

This study examines the influence of exchange rate volatility on foreign direct investment flows to the Nigeria economy. The study employs the ARCH, GARCH and EC models to analyze time series data for the period 1970 to 2016. The study established the stationarity of the data series and carried out the cointegration tests. The result of the study reveals that exchange rate volatility tends to persist throughout the study period. The findings of the study established empirical evidence to support the views that exchange rate volatility has a negative and significant influence on foreign direct investment inflows to Nigeria. The study demonstrates that increase in inflation exerts a negative effect on foreign direct investment inflows to Nigeria. The results of the analysis revealed that trade openness and interest rate have a positive influence on FDI in Nigeria. Thus, it is important for the government to muster the political will with efforts to create a stable environment to boost domestic production of export commodities and investment inflows. In addition, it is imperative for the government through its regulatory agencies to pursue a sound exchange rate regime with good policies and programs that would encourage investments in the economy. [ABSTRACT FROM AUTHOR]

In this study, the impact of exchange rate volatility on Nigerian exports to Eurozone countries is investigated. Monthly export data from January 1999 to December 2016 was used. This study utilizes the bounds test approach to cointegration to analyze how exchange rate volatility exerts influence on Nigeria's export to the Euro Area. GARCH (1,1) is employed to measure the volatility of the Naira/dollar exchange rate. In the considered model, Nigeria's export to the Euro Area is taken as the dependent variable, whilst the independent variables include income of the Euro Area, price and the volatility measure Given that the variables are a combination of I(1) upper bound and I(0), (lower bound the bounds test is used to test for cointegration. After confirming the existence of cointegration, the short-run and long-run coefficients are estimated. The short-run result shows that price and volatility have negative and positive lagged effects on Nigeria's export, respectively. In the long run, coefficients of price and volatility are significantly positive. The income of the Euro Area has no significant impact on Nigeria's exports in both the short and long run. The study recommends that Government subsidies and a floating exchange rate system are implemented [ABSTRACT FROM AUTHOR]

Modeling solar radiation is a necessity for the utilization of the benefits it brings to mankind. Time series analysis has proved to stand out amidst other statistical tools when estimating and forecasting solar radiations and their variations. In this paper, a mixture of the Autoregressive Moving Average (ARMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) time series models were implemented on the solar radiation series for Port Harcourt meteorological station, located at the south-southern part of Nigeria, to capture and model the conditional mean and volatility that may exist in the series. After subjecting the models to some evaluation metrics for model adequacy, the results gave appropriate ARMA model for the station, indicated the presence of volatility in the radiation series and these volatilities were modeled using the combination of ARMA-GARCH models, which produced a better estimate than the ARMA models alone. [ABSTRACT FROM AUTHOR]

This study examines the direction of causality between fiscal policy and inflation volatility in Nigeria for the periods 1981 to 2014. Studies have examined the relationship between fiscal policy and inflation volatility without taking cognizant of the direction of relationship that exist between the two variables, hence this study. The study employs quarterly time series data on fiscal deficit and consumer price index (measure of inflation rate) from 1981:1 to 2013:3 and obtains from the central bank of Nigeria statistical bulletin 2014 while the volatility data is generated through GARCH (1,1) method and analyze using the Pairwise Granger Causality Test. The results of the study showed that there is bi-directional causality between fiscal deficit (F - statistic = 5.86 & 3.96; ?? < 0.05) and inflation volatility. The implication of this result is that volatility in inflation rate is traceable to the persistent nature of the excess government expenditure over revenue of the Nigerian economy and vice versa; this will inform the government, policy makers and individual the reasons for continuous fluctuation in the prices of goods and services in the country. The paper contributes to knowledge by providing information on the causes of fluctuation in inflation rate in Nigeria. [ABSTRACT FROM AUTHOR]