Skip to main content

Table 3 Persistence and half-life volatility of log returns of daily stock price of Total Nigeria Plc

From: On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting

 

Normal innovation

Student t innovation

Persistence

Half-life volatility

Persistence

Half-life volatility

sGARCH (1,1)

0.8985

6.4765

NA

NA

gjrGARCH(1,1)

0.9068

7.0831

NA

NA

eGARCH(1,1)

0.8242

3.5859

0.9993

1030.535

iGARCH(1,1)

1

Infinity

1

Infinity

apARCH(1,1)

0.8960

6.3101

0.9638

18.7753

TGARCH(1,1)

0.9923

89.4049

0.6300

1.5000

NGARCH(1,1)

0.8853

5.6903

0.9816

37.2784

NAGARCH(1,1)

0.9009

6.6394

0.9364

10.5541

AVGARCH(1,1)

0.8546

4.4127

0.7293

2.1961