Inter-Bank Call Rate Volatility and the Global Financial Crisis: The Nigerian Case

RUFUS AYODEJI OLOWE

Abstract


This paper investigated the volatility of interbank call rates in Nigeria using GARCH (1, 1), EGARCH (1, 1), TS-GARCH (1, 1) and PARCH (1, 1) models in the light of the stock market crash and global financial crisis. Using data over the period, June 11, 2007 and May 20, 2009, volatility persistence and asymmetric properties are investigated for the Nigerian interbank call money market. The result shows that volatility is persistent. The hypothesis of asymmetry and leverage effect is rejected. It is found that the Nigerian interbank call money market returns show high persistence in the volatility but it shows clustering properties. The result shows the stock market crash and global financial crisis have impact on interbank call rate return but not on its volatility. The stock market crash and global financial crisis could have accounted for the sudden change in variance. The augmented TS-GARCH (1, 1) model is found to be the best model.


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International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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