文章基本信息

标题：Modelling Abrupt Shift in Time Series Using Indicator Variable: Evidence of Nigerian Insurance Stock
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作者：H. G. Dikko ; H. G. Dikko ; O. E. Asiribo 等
期刊名称：International Journal of Finance and Accounting
印刷版ISSN：2168-4812
电子版ISSN：2168-4820
出版年度：2015
卷号：4
期号：2
页码：119-130
DOI：10.5923/j.ijfa.20150402.02
语种：English
出版社：Scientific & Academic Publishing Co.
摘要：This study models abrupt shift in time series using indicator variable. Seven symmetric and five asymmetric models were considered by incorporating an indicator variable in the variance equation to monitor the changes of some selected Nigerian insurance stocks. The results showed that the daily returns were stationary but not normally distributed and eight out of ten stocks considered for the study showed evidence of ARCH effect. The performance of the different models was evaluated using the RMSE, MAE and MAPE. The model ARCH (1) proved to be the most suitable among the twelve competing volatility models considered. When the regime changes are incorporated into the model, it is found that the highly persistent volatility of the insurance stock return rate is reduced for most of the stocks.
关键词：Volatility; Heteroscedasticity; Root Mean Square Error; Indicator variable