Estimating the Hurst Parameter of the Nigerian All-Share Index (1990-2007)
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
How to Cite?: Maurice Nnamdi ANNORZIE, "Estimating the Hurst Parameter of the Nigerian All-Share Index (1990-2007)", Volume 7 Issue 7, July 2018, International Journal of Science and Research (IJSR), Pages: 420-424, https://www.ijsr.net/getabstract.php?paperid=ART20183884, DOI: https://dx.doi.org/10.21275/ART20183884