Browsing by Author "Idowu, Richard A."

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    The Impact of Global Financial Crisis and COVID-19 Pandemic on Crude Oil Futures Returns
    (Department of Statistics, Nasarawa Sate University Keffi., 2023-01-09) Adenomon, Monday Osagie; Emenogu, N.G.; Idowu, Richard A.
    This study investigates the impact of the global financial crisis and of the present COVID-19 pandemic on daily and weekly Crude oil futures using four variants of ARMA-CARCH models: ARMA- sCARCH, ARMA-eGARCH, ARMA-TGARCH and ARMA- aPARCH with dummy variables We also investigated the persistence, half-life and backtesting of the models. This study therefore seeks to contribute to the body of literature on the impact of the global financial crisis and the present COVID- 19 pandemic on the crude oil futures market. ٦he Impact of the global financial crisis and the COVID- 19 on the crude oil futures has not been investigated at present. We obtained and analyzed the daily and weekly crude oil futures from secondary sources. ٦he daily crude oil futures used in this study cover the period from 4th January 2000 to 27th April 2020 while the weekly crude oil futures covered the period from 2nd January 2000 to 26th April 2020. ٦he global financial crisis period covered the period from 2nd 2007 لاالال to 3151 March 2009 and the current COVID-19 pandemic covered the period from 1st January 2020 to 27th April, 2020. ٦he study used both Student t and skewed Student t innovations with AIC, goodness-of-test fit and backtesting to select the best model. Most of the estimated ARMA-GARCH models are supported by skewed Student t distribution while most of the ARMAGARCH models exhibited high persistence values in the presence of the global financial crisis and the COVID-19 pandemic. In the overall, the estimated ARMA(1,0)-eGARCH(2,1) and ARMA(1,0)_ eGARCH(2,2) model for dally crude oil futures and weekly crude oil futures respectively have been significantly Impacted by the global financial crisis and the Present COVID-19 pandemic while the preferred estimated models also passed the goodness-of-test fit and backtesting. This study recommends shareholders and investors should think outside the box as crude oil futures tend to be affected by the global financial crisis and COVID-19 pandemic while countries also that depend mostly on crude oil are encouraged to diversify their economy in order to survive and be sustained during the financial and health crisis.
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    Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural Breaks
    (Department of Statistics, Nasarawa Sate University Keffi., 2022-12-21) Adenomon, Monday Osagie; Idowu, Richard A.
    his study provides evidence of the impact of COVID-19 on five (5) Nigerian Stock Exchange (NSE) sectorial stocks (NSE Insurance, NSE Banking, NSE Oil and Gas, NSE Food and Beverages, and NSE Consumer Goods). To achieve the goal of this paper, daily stock prices were obtained from a secondary source ranging from 2 January 2020 to 25 March 2021. Because of the importance of incorporating structural breaks in modelling stock returns, the Zivot–Andrews unit root test revealed 20 January 2021, 26 March 2020, 27 July 2020, 23 March 2020 and 23 March 2020 as potential break points for NSE Insurance, NSE Food, Beverages and Tobacco, NSE Oil and Gas, NSE Banking, and NSE Consumer Goods, respectively. This study investigates the volatility in daily stock returns for the five (5) Nigerian Stock Exchange (NSE) sectorial stocks using nine versions of GARCH models (sGARCH, girGARCH, eGARCH, iGARCH, aPARCH, TGARCH, NGARCH, NAGARCH, and AVGARCH); in addition, the half-life and persistence values were obtained. The study used the Student t- and skewed Student t-distributions. The results from the GARCH models revealed a negative impact of COVID-19 on the NSE Insurance, NSE Food, Beverages and Tobacco, NSE Banking, and NSE Consumer Goods stock returns; however, the NSE Oil and Gas returns showed a positive correlation with the COVID-19 pandemic. This study recommends that the shareholders, investors, and policy players in the Nigerian Stock Exchange markets should be adequately prepared in the form of diversification of investment in stocks that can withstand future possible crises in the market.