An empirical assessment of symmetric and asymmetric jump-diffusion models for the Nigerian stock market indices
We examine empirically, the suitability of three stock price models viz: geometric Brownian motion, symmetric and asymmetric jump-diffusion models, on the empirical log-returns of the Nigerian All-Share Index. 5334 daily observed data from January 2, 1998, to February 21, 2020, were utilized. Using...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-07-01
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| Series: | Scientific African |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2468227621000375 |