Modelling and Forecasting the Volatility of the Daily Returns of Nigerian Insurance Stocks

  •  Dallah Hamadu    
  •  Ade Ibiwoye    


This paper examines the volatility of the daily returns of Nigerian insurance stocks. Using empirical analysis, the study shows that the Exponential Generalized Autoregressive Conditional Heteroskedastic (EGARCH) model is more suitable in modelling stock price returns as it outperforms the other models in model-estimation evaluation and out-of-sample volatility forecasting. Given the cardinal role of insurance in Nigeria’s risk management system the present findings can be useful in understanding insurance industry’s stock risk. The policy implications are also considered.

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