"The relevance of garch-family models in forecasting Nigerian oil price" by Garzali Muhammed and Bashir Umar Faruk Ph.D

Bullion

Title

The relevance of garch-family models in forecasting Nigerian oil price volatility

Authors

Garzali Muhammed, Central Bank of NigeriaFollow
Bashir Umar Faruk Ph.D, Umar Musa Yaradua University, Katsina

Keywords

Oil and Gas, Economics, Statistical model, Financial data, Macroeconomics

Abstract

This study aims at investigating the relevancy of GARCH - family models in measuring the Nigeria bonny light crude oil price volatility. The study also compares the forecasting power of different GARCH models with the aim of identifying the best forecasting model. The study uses the best GARCH family model to predict the future bonny light oil prices. The paper is structured into five sections. First section is introduction and second section is the literature review. The third section highlight the methodology while section four analyses the result and gives discussions of findings. Conclusion and recommendations are in the last section.

Author Bio

Garzali, Muhammed Ph.D is a staff of the Development Finance Department of the Central Bank of Nigeria and Bashir Umar Faruk Ph.D is a lecturer at the Department of Economics, Umar Musa Yaradua University, Kastina.

Publication Title

CBN Bullion

Issue

Volume

Recommended Citation

Muhammed, Garzali and Umar Faruk, Bashir Ph.D (2018) "The relevance of garch-family models in forecasting Nigerian oil price volatility," Bullion: Vol. 42: No. 2, Article 2.
Available at: https://dc.cbn.gov.ng/bullion/vol42/iss2/2

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