An Appraisal of Stock Market Prices Volatility in an Era of Democracy in Nigeria: 1999 – 2017

Abstract

This study appraised stock market prices volatility in an era of democracy in Nigeria. It examined the degree and persistence of volatility for the period of July 1999 to December 2017using GARCH (1,1) model. The result of the empirical analysis revealed that the components of ARCH and GARCH terms is close to one and greater than 0.5 which means that stock market prices has high level of volatility in Nigeria for the period before democracy. Therefore, the sum of square error term and conditional variance revealed that stock price volatility exist during the period under review. In the same vein, interest rate, inflation and exchange rate as appeared in the model represent an outside shock that influence the volatility in stock market price in Nigeria.