Multivariate Garch Analysis of Selected Nigerian Economic Data
Shakarho Udi Pepple *
Department of Budget, Ministry of Economic Planning, Delta State, Nigeria.
Etuk Ette Harrison
Department of Mathematic, Rivers State University Port Harcourt, Nigeria.
Isaac D. Essi
Department of Mathematic, Rivers State University Port Harcourt, Nigeria.
*Author to whom correspondence should be addressed.
Abstract
Aims: The aim of this study is to examine multivariate GARCH modeling of selected Nigerian economic data.
Study Design: The study used monthly data of Nigerian crude oil prices (dollar Per Barrel), consumer price Index rural, maximum lending rate and prime lending rate.
Methodology: This work covers time series data on crude oil prices, consumer price Index rural, maximum lending rate and prime lending rate extracted from Central Bank of Nigeria (CBN) from 2000 to 2019. In attempt to achieve the aim of the study, quadrivariate VECH and DCC model were applied.
Results: The results confirmed that returns on economic data were correlated. Also, diagonal multivariate VECH model confirmed one of the properties that it must be ‘positive semi-definite’,
And the DCC confirmed also the positive-definite conditional-variance.
Conclusion: From the results obtained, it was confirmed that there exists a strong confirmation of a time-varying conditional covariance and interdependence among Nigeria economic data. As for cross-volatility effects, past innovations in crude oil price have utmost control on future volatility of returns on economic data. It was also confirmed that time varying covariance displays among these economic data and lower degree of persistence and based on Model selection criteria using the Akaike information criteria (AIC) has 17.485 for diagonal VECH while for DCC has 17.509 AIC which makes VECH model better fitted.
Keywords: Diagonal CCC model, economic data, conditional covariance, diagonal VECH