Modelling the Impact of the COVID-19 Pandemic on Some Nigerian Sectorial Stocks: Evidence from GARCH Models with Structural Breaks

This study provides evidence of the impact COVID-19 on five (5) Nigerian Stock Exchange (NSE) sectorial stocks (NSE Insurance, NSE Banking, Oil and Gas, Food Beverages, Consumer Goods). To achieve goal this paper, daily stock prices were obtained from a secondary source ranging 2 January 2020 to 25 March 2021. Because importance incorporating structural breaks in modelling returns, Zivot–Andrews unit root test revealed 20 2021, 26 2020, 27 July 23 as potential break points for Food, Beverages Tobacco, Goods, respectively. investigates volatility returns using nine versions GARCH models (sGARCH, girGARCH, eGARCH, iGARCH, aPARCH, TGARCH, NGARCH, NAGARCH, AVGARCH); addition, half-life persistence values obtained. The used Student t- skewed t-distributions. results negative Goods returns; however, Gas showed positive correlation with pandemic. recommends that shareholders, investors, policy players markets should be adequately prepared form diversification investment can withstand future possible crises market.