Measuring Volatility Effects on Emerging Insurance Stock in Nigeria Arch and Garch Modelling Family Approach
Ezema Clifford Anene1, Iloegbulam Damian2 and Ofodile Henry3
1Senior lecturer in Department of Insurance and Risk Management, Faculty of Management Sciences, Enugu State University of Science and Technology, (ESUT), Enugu Email. clifford.ezema@esut.edu.ng
2MSC Students, lecturer in Department of Insurance and Risk Management, Faculty of Management Sciences, Enugu State University of Science and Technology, (ESUT), Enugu,Nigeria
3Lecturer in Department of Accounting, Faculty of Management and Social Sciences, Coal city University, Enugu, Nigeria
ABSTRACT
Nigeria Stock markets play a critical role in economic development by facilitating capital formation and investment. However, in emerging economies like Nigeria, Insurance stock market performance is often characterized by high volatility, structural inefficiencies, and sensitivity to macroeconomic conditions, raising concerns about the stability and predictability of stock returns. The broad objective of the study is to measures volatility effects on emerging insurance stock in Nigeria. ARCH and GARCH Modelling family approach. The specific objective of the study is to investigate volatility clustering, persistence and leverage effects on emerging Insurance stock returns in Nigeria, employing the Auto Regressive conditional Heteroskedasticity (ARCH) and generalized Auto Regressive conditional Heteroskedasticity Model. Result reveals the presence of volatility, its clustering persistence and a positive leverage effect. The result implication shows that vitality of insurance stock is a serious risk facing insurance investors in marketing insurance stocks. These risks are needed to be mitigated so that insurance investment could equally contributed to intermediation with its resultant effect on economic growth of the country.
Keywords: Insurance Stock Returns, Volatility clustering, volatility persistence, Leverage effects.
CITE AS: Measuring Volatility Effects on Emerging Insurance Stock in Nigeria Arch and Garch Modelling Family Approach. Ezema Clifford Anene, Iloegbulam Damian and Ofodile Henry. (2025). INOSR ARTS AND MANAGEMENT 11(2):25-36. https://doi.org/10.59298/INOSRAM/2025/112.2536