Vol 13 Issue 2 April 2026-June 2026
Olominu, T. A., Ajiboye A. S., Adejuwon, M. A.
Abstract: This study investigates model selection and seasonal volatility dynamics in the Nigerian stock market using asymmetric Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. Daily returns of the Nigerian Stock Exchange (NSE) All Share Index from January 2016 to December 2025 are analyzed to capture key volatility characteristics across different market conditions. The study estimates and compares alternative volatility specifications, including GARCH (1,1), EGARCH, GJR GARCH, TGARCH, and QGARCH models, with primary emphasis on in-sample model performance. Preliminary diagnostic tests confirm that the return series is stationary and exhibits significant ARCH effects, indicating time varying volatility and justifying the use of GARCH-type models. The empirical results reveal strong volatility persistence and clear evidence of asymmetric responses to market shocks, consistent with the leverage effect observed in financial markets. Model selection based on log-likelihood values and information criteria (Akaike Information Criterion and Bayesian Information Criterion) indicates that the EGARCH model provides the best in sample fit among the competing specifications. This suggests that accounting for asymmetry significantly improves model performance in the Nigerian context. To examine seasonal volatility dynamics, calendar based dummy variables are incorporated into the variance equation. The results show no statistically significant day-of-the-week effects, while modest reductions in volatility are observed during the mid-year months, particularly from April to June. However, these seasonal effects are relatively weak compared to the dominant influence of volatility persistence. Overall, the findings highlight the superiority of asymmetric GARCH models for capturing volatility dynamics and provide useful insights for risk modelling and financial market analysis in emerging economies
Keywords: Stock Market Volatility; Model Selection; Asymmetric GARCH; EGARCH; Seasonality; Nigerian Stock Market.
Title: Model Selection and Seasonal Volatility Dynamics in the Nigerian Stock Market: Evidence from Asymmetric GARCH Models
Author: Olominu, T. A., Ajiboye A. S., Adejuwon, M. A
International Journal of Recent Research in Interdisciplinary Sciences (IJRRIS)
ISSN 2350-1049
Vol. 13, Issue 2, April 2026 - June 2026
Page No: 1-10
Paper Publications
Website: www.paperpublications.org
Published Date: 02-June-2026
