Modeling The Nigerian Stock Exchange Data Characterized with Heteroscedasticity Disturbances Using Bayesian Approach

Abstract

The stock exchange plays a crucial role in influencing the development of a country’s economy and growth.. This paper examines the Nigerian Stock Exchange data in the presence of heteroscedasticity disturbances parameters of Nigerian Stock Exchange using a wide range of variables. The results indicate that Bayesian estimation is reliable since the parameter estimates are consistent. Finally, Bayesian estimation when heteroscedasticity structure is present performs better than the homoscedasticity counterpart.

Keywords: Bayesian estimation, heteroscedasticity, homoscedasticity, prior, posterior distribution.