INVESTIGATING THE EFFICACY OF ARIMA AND ARFIMA MODELS IN NIGERIA ALL SHARE INDEX MARKETS

Deebom Zorle Dum; Bharat Kumar Meher; Iuliana Carmen Bărbăcioru; Lucia Paliu Popa; Mathew Thomas Gil; Aboko Igboye Simon; Carina Stegăroiu; Ion Florescu

doi:10.24818/18423264/57.3.23.05

INVESTIGATING THE EFFICACY OF ARIMA AND ARFIMA MODELS IN NIGERIA ALL SHARE INDEX MARKETS

Deebom Zorle Dum
, Bharat Kumar Meher
, Iuliana Carmen Bărbăcioru
, Lucia Paliu Popa
, Mathew Thomas Gil
, Aboko Igboye Simon
, Carina Stegăroiu^*
, Ion Florescu

^*Corresponding author for this work

Manipal School of Commerce and Economics (MSCE)

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

The study aims to investigate statistical issues, simplified facts, and efficacy of methodological characteristics of long memory models in the monthly Nigerian All Share Index markets. Specifically, the study investigates descriptive and other distributive properties of long-memory models in order to test the efficient market hypothesis proposed by Fame. The data used in this study is the Nigeria All Share Index. The data points totalled 356 and spanned from January 1992 to August 2021. The study used Autoregressive Moving Average and its Fractional Integrated model (ARFIMA) to capture the characteristics of long memory. In addition, a comparison is made between ARIMA and ARFIMA.

Original language	English
Pages (from-to)	77-96
Number of pages	20
Journal	Economic Computation and Economic Cybernetics Studies and Research
Volume	57
Issue number	3
DOIs	https://doi.org/10.24818/18423264/57.3.23.05
Publication status	Published - 2023

All Science Journal Classification (ASJC) codes

Economics and Econometrics
Computer Science Applications
Applied Mathematics

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10.24818/18423264/57.3.23.05

Cite this

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title = "INVESTIGATING THE EFFICACY OF ARIMA AND ARFIMA MODELS IN NIGERIA ALL SHARE INDEX MARKETS",

abstract = "The study aims to investigate statistical issues, simplified facts, and efficacy of methodological characteristics of long memory models in the monthly Nigerian All Share Index markets. Specifically, the study investigates descriptive and other distributive properties of long-memory models in order to test the efficient market hypothesis proposed by Fame. The data used in this study is the Nigeria All Share Index. The data points totalled 356 and spanned from January 1992 to August 2021. The study used Autoregressive Moving Average and its Fractional Integrated model (ARFIMA) to capture the characteristics of long memory. In addition, a comparison is made between ARIMA and ARFIMA.",

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year = "2023",

doi = "10.24818/18423264/57.3.23.05",

language = "English",

volume = "57",

pages = "77--96",

journal = "Economic Computation and Economic Cybernetics Studies and Research",

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publisher = "Editura Academia de studii economice",

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T1 - INVESTIGATING THE EFFICACY OF ARIMA AND ARFIMA MODELS IN NIGERIA ALL SHARE INDEX MARKETS

AU - Dum, Deebom Zorle

AU - Meher, Bharat Kumar

AU - Bărbăcioru, Iuliana Carmen

AU - Popa, Lucia Paliu

AU - Gil, Mathew Thomas

AU - Simon, Aboko Igboye

AU - Stegăroiu, Carina

AU - Florescu, Ion

PY - 2023

Y1 - 2023

N2 - The study aims to investigate statistical issues, simplified facts, and efficacy of methodological characteristics of long memory models in the monthly Nigerian All Share Index markets. Specifically, the study investigates descriptive and other distributive properties of long-memory models in order to test the efficient market hypothesis proposed by Fame. The data used in this study is the Nigeria All Share Index. The data points totalled 356 and spanned from January 1992 to August 2021. The study used Autoregressive Moving Average and its Fractional Integrated model (ARFIMA) to capture the characteristics of long memory. In addition, a comparison is made between ARIMA and ARFIMA.

AB - The study aims to investigate statistical issues, simplified facts, and efficacy of methodological characteristics of long memory models in the monthly Nigerian All Share Index markets. Specifically, the study investigates descriptive and other distributive properties of long-memory models in order to test the efficient market hypothesis proposed by Fame. The data used in this study is the Nigeria All Share Index. The data points totalled 356 and spanned from January 1992 to August 2021. The study used Autoregressive Moving Average and its Fractional Integrated model (ARFIMA) to capture the characteristics of long memory. In addition, a comparison is made between ARIMA and ARFIMA.

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SN - 0424-267X

VL - 57

SP - 77

EP - 96

JO - Economic Computation and Economic Cybernetics Studies and Research

JF - Economic Computation and Economic Cybernetics Studies and Research

IS - 3

ER -

INVESTIGATING THE EFFICACY OF ARIMA AND ARFIMA MODELS IN NIGERIA ALL SHARE INDEX MARKETS

Abstract

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