Page 141 - Contributed Paper Session (CPS) - Volume 5

CPS1145 Adeniji Oyebimpe Emmanuel et al.
4. Discussion and Conclusion
Mixture innovations of GARCH models best explained Nigeria Stock
volatilities. The forecasting we obtain are evaluated using Root Mean Square
Error (RMSE) and Mean Absolute Percentage Error (MAPE) predicting 24 steps
ahead. The forecasting is reported by ranking the different models with
respect to RMSE and MAPE for NSE index. The proposed volatility models with
mixture error innovations outperformed conventional models in terms of
fitness of conditional volatility and forecasts. The proposed models will be
good alternatives for volatility modelling of symmetric and asymmetric stock
returns.

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