Authors:
I. S. Okere, I. D. Essi, I. R. Ndu

Addresses:
Department of Mathematics and Computer Science, Rivers State University, Port Harcourt, Rivers State, Nigeria.

Abstract:

This paper analyses Nigerian crude oil markets from 1987 to 2023 using symmetric and asymmetric GARCH models. The specific goals include examining the ARCH effect in Nigeria's monthly crude oil price returns from January 1987 to April 2023, assessing the impact of volatility on these returns using the symmetric GARCH model, investigating the impact of leverage effects and news using the asymmetric model, and comparing the performance of both models. The Central Bank of Nigeria (CBN) Statistical Database provided crude oil prices in Naira/Dollar from January 1999 to April 2023. Since the raw series and Nigerian crude oil price returns show a steady trend over time, the model estimation findings reveal a non-stationary price series. The results indicate that both symmetric and asymmetric GARCH models can effectively model Nigerian crude oil returns. The Akaike information criteria showed that the EGARCH model under the Student-t distribution with fixed degrees of freedom provided the best fit. Diagnostic tests reveal that price shocks can have lasting consequences, supporting the EGARCH model's analysis of Nigerian crude oil prices. The long memory hypothesis shows that the Nigerian crude oil market is unstable and evolving. The study made many recommendations based on these findings.

Keywords: Crude Oil Prices; Symmetric GARCH; Asymmetric GARCH; ARCH Effect; Leverage Effect; Student-t Distribution; Nigerian Crude Oil Market; Inflation Rates; International Trade.

Received on: 02/10/2024, Revised on: 21/12/2024, Accepted on: 23/03/2025, Published on: 09/09/2025

DOI: 10.69888/FTSML.2025.000445

FMDB Transactions on Sustainable Management Letters, 2025 Vol. 3 No. 3, Pages: 113-125

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