Downloads: 168 | Views: 424
Research Paper | Mathematics | Nigeria | Volume 7 Issue 7, July 2018 | Popularity: 6.1 / 10
Estimating the Hurst Parameter of the Nigerian All-Share Index (1990-2007)
Maurice Nnamdi ANNORZIE
Abstract: In this work, the Rescaled Range Statistics R/S was used to analyze the Nigerian All-Share Index (NASI) of the Nigerian Stock Market from 1990 to 2007. The times series of NASI driven by a four-quarter moving average over 72 observations was classified. The Hurst parameter H? (0,1) as a dimensionless estimator, was obtained, in order to characterize the historical market?s trend. The value of H obtained showed the long-range dependence (LRD) of the NASI.
Keywords: Rescaled Range Statistics, Nigerian Stock Market, Hurst Parameter, Long-range Dependence
Edition: Volume 7 Issue 7, July 2018
Pages: 420 - 424
DOI: https://www.doi.org/10.21275/ART20183884
Please Disable the Pop-Up Blocker of Web Browser
Verification Code will appear in 2 Seconds ... Wait