This study used a Cointegration VAR model to study the Contemporaneous Long run dynamics of the impact of foreign direct Investment (FDI) on Growth Domestics Products (GDP) with other four macroeconomic variables in the Nigerian Economy for the period of January 1970 to December 2004. The Unit Root Test suggests that all the variables are integrated of order 1. The VAR (3) model were appropriately Identified using AIC information criteria and the VECM (2) model with cointegration relation of exactly one .The study further investigate the causal relationship using the Granger Causality analysis of VECM which indicates a uni directional causal relationship between GDP and FPI at 5% as in inline with other studies of Basu et al.(2003). The results of Granger Causality Analysis also show that some of the variables are Granger Causal of one another, at 5% level of significance. Having established the fact that foreign direct investment has positive impact on growth domestic product, government should strategize policies that would enhance foreign direct investment in Nigeria.
This paper examines the impacts of interest rate and its volatility on stock returns and stock returns volatility and the effect of interest rate during the global financial crises on stock returns and stock returns volatility using monthly All Shares Index prices of the NSE market and 3-month bank deposit rate covering the period of 1985M1-2010M12. GARCH (1, 1) specification with multivariate regressors was employed and the result shows that interest rate has significant negative impact on both stock returns and stock returns volatility; interest rate volatility has significant positive impact on both stock returns and stock returns volatility and during the global financial crises, interest rate has no significant impact both on stock returns and stock returns volatility. This result indicates that interest rate exerts strong predictive impact on stock market returns and there exist volatility spillover effect on stock market condition. It then becomes crucial for investors and policy makers to pay attention to interest rate changes when predicting stock market condition.
Autoregressive fractional integrated moving average modeling strategy was used to model the daily average temperature (DAT) series of Sokoto metropolis for the period of 01/01/2003 to 03/04/2007. The time plot suggests that there is persistence dependence in the series. The order of fractional integration was found to be 0.6238841. The correct model for the daily average temperature data (DAT) of Sokoto metropolis was built. Two models were found to be more adequate for describing, explaining and forecasting the temperature, ARFIMA (3, 0.6238841, 1) and ARFIMA (1, 0.6238841, 3). But by checking the forecastability, ARFIMA (3, 0.6238841, 1) model was found to be the best optimal model that will best forecast Sokoto metropolis temperature. The fitted model should be used for future forecast of temperature of Sokoto metropolis. Forecasting temperature is important to Agriculturist, Geographers and Hydrologist. Air temperature determines the rate of evapotranspiration.
This study investigates and measures the long and short run relationship of monetary and fiscal policies on economic growth in Nigeria. A Vector Error Correction (VEC) models technique was employed to analyse and draw policy inferences. Through the VEC model, the relationships then have been investigated by the long-run relationships in the cointegrating vector and the short-run effects from the VEC model. From the cointegration analysis, the long-run relationships give some possible indications of growth in Nigerian economy. We find that the Nigerian economy is determined mostly by money supply. It is clear also from the findings those monetary policy variables: money supply and minimum rediscount rate have dominant long-run effects on the economy. From these results it is clear that monetary policy exacted greater impact on the economic growth but the effects of fiscal policy had lower magnitude more specifically when there is decrease in the inflation rate. Additionally, the 35% speed of adjustment to the short run disequilibrium shows an improvement in the Nigeria economic growth. Although, both monetary and fiscal policy variables may contribute to economic growth in the short and long term, but based on these findings monetary policy will exact more impact if it facilitates the supply side of the economy through money supply.
This paper explores the application of artificial neural network in volatility forecasting. A recurrent neural network has been integrated in to GARCH model to form the hybrid model called GARCH-Neural model. The emphasis of the research is to investigate the performance of the variants of Backpropagation algorithms in training the proposed GARCHneural model. In the first place, EGARCH (3, 3) was identified in this paper most preferred model describing crude oil price volatility in Nigeria. Similarly, Levenberg-Marquardt (LM) training algorithms were found to be fastest in convergence and also provide most accurate predictions of the volatility when to other training techniques.
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