Abstract:This paper focused on comparative performance of GARCH models, ascertaining the best model fit, estimating the parameters and making prediction from optimal model. The study used UBA daily stock exchange prices sourced from the official websites of www.investing.com,on the daily basis of the Nigeria stock exchange rate over a period of ten years from 06/06/2012 – 04/06/2021. Five GARCH models (SGARCH, GJRGARCH or TGARCH, EGARCH, APGARCH and IGARCH) were fitted to the secondary data set of the Nigerian Stock ex… Show more
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