Time-Varying Volatility Modeling of Stock Returns During COVID-19: The Nigeria Empirical Evidence

Abstract

This study models time varying volatility in the Nigerian stock exchange (NSE) investigating whether it has been affected during the Covid-19 periods. We examined the persistence of volatility and the presence of leverage effects in Nigerian equity market before and during the period of Covid-19. It wad found that there is GARCH effects in the stock market before and during the Covid-19 periods. However volatility was pooling and spiky more during the Covid-19 giving the verdict that the market has become highly unpredictable  during this period. In addition, leverage effects are more pronounced during the pandemic peril.

Keywords: Volatility, conditional volatility, GARCH, Covid-19 crisis