in this paper, we investigate variations of gold coin price and also probe to model the fluctuations and conditional variance of coin market returns. the data consist of daily market prices of gold coin over the 1380 – 1386 period. since volatility clustering is viewed in time series of returns, we employ arch (autoregressive conditional heteroskedasticity) methodology in order to model the var...

a r t i c l e i n f o Keywords: Multivariate GARCH model Optimal hedge ratio Market noise conditional volatility This paper introduces a new incomplete index and establishes a new optimal hedging model. We find that when the market micro-noise is perfectly negatively correlated with the return of futures market, market incomplete-ness depends on the relative level of noise volatility. Especiall...

This study examined oil price influence on the Nigeria exchange rate volatility spanning retro of thirty five (35) years. The Simultaneous equation modeling Granger causality test and Vector Error Correction Model (VECM) techniques were adopted, to analyzed data stream from 1983 – 2019. A dynamic framework analysis that includes unit root, descriptive statistics co-integration preliminary carri...