Application of GARCH Model for Accuracy Measures of Some Components of the Nigeria Economy

L. Nkpordee¹ , I.M. Ogolo²

Section:Research Paper, Product Type: Journal-Paper
Vol.9 , Issue.3 , pp.43-60, Jun-2022

Online published on Jun 30, 2022

Copyright © L. Nkpordee, I.M. Ogolo . This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
 

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Abstract :
The use of the GARCH model for accuracy measures of some components of the Nigerian economy was investigated in this study. Its goal was to create a GARCH model that could be used to forecast the Nigerian economy. The statistical database website of the Central Bank of Nigeria (CBN) was used to gather data for this study (www.cbn.gov.ng). Monthly capital formation, gross domestic product, labor force, savings accumulation, and capital market are among the variables from (2001-2021). The parameters that make up the GARCH model and the model selection criteria were obtained using the Gretl 19c and Minitab 16 programs (AIC, BIC, LHC, HQC, R2, R2-Adjusted, SSE and MSE). The GARCH model with the biggest effects on the Nigerian economy based on actual data is GARCH(1,1) from savings accumulations (SA), because all of its parameters are significant at 5% and 10%, and all of its model selection criteria are smaller and better than the other four GARCH models. This means that the impact of savings accumulations on the Nigerian economy is greater than the impact of other components. It was suggested that policymakers, investors, financial analysts, and economists investigate appropriate measures to improve saving accumulation stability because it has a greater impact on the Nigerian economy than other aspects considered in this study.

Key-Words / Index Term :
Accuracy Measures; Nigeria Economy; GARCH Model; Heteroscedasticity; Time Series Analysis

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