Symmetry and Asymmetry Multivariate Garch Modeling of Consumer Prices Index, Crude Oil Price, Inflation Rate and Exchange Rate
Publication Date: 15/10/2023
DOI: Symmetric, Asymmetric, Multivariate –GARCH, Diagonal VECH, Diagonal BEKK.
Author(s): Wiri Leneenadogo, Dr. Archibong Mark Edet.
Volume/Issue: Volume 6 , Issue 4 (2023)
Abstract:
The study looked at changes in Nigeria's exchange rate, inflation rate, consumer price index, and price of crude oil. Monthly data from January 2004 to December 2020 were utilized in this analysis, and they were taken from the statistical bulletin of the Central Bank of Nigeria (CBN). The data's time graphic showed the trend series' present state. For the analysis, E-view 12 statistical software was employed. Modeling employed both symmetric and asymmetric processes. Using both symmetric and asymmetric modeling techniques, the Multivariate Generalized Autoregressive Conditional Heteroscedasticity (M-GARCH) model was developed. To estimate three models for multivariate GARCH, a constant conditional correlation, a diagonal VECH, and a diagonal BEKK. The conditional variance and conditional covariance were estimated using these models. Every variance and covariance model had a significance level of 5%.
Keywords:
Symmetric, Asymmetric, Multivariate –GARCH, Diagonal VECH, Diagonal BEKK.
