Volatility Transfer from Developed Countries to Emerging Markets: Evidence from Nigeria
Bibliographic record
Abstract
In this paper, we examine the existence of volatility transfer from stock exchanges of 5 major developed economies of USA (NYSE), Canada (S&PTSX), France (CAC) Germany (DAX) and UK (FTSE) to the Nigerian Stock Exchange (NSE). To ascertain the relationship between these five bourses and the NSE, we employ the Ordinary Least Square Estimation (OLSE) technique. Moreover, we use the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model to determine the existence or otherwise of volatility transfer from these five advanced bourses to the NSE. The results of this study confirm the existence of volatility transfer from the NYSE, S&PTSX, CAC, DAX and FTSE to the NSE from January 1 st January 2006 to 15th March 2010. Following from this, it behooves on policy makers in Nigeria to pay particular attention to events in these bourses and in these economies and proactively take prompt actions when necessary. Keywords: Global Financial Crisis, Bourses, Contagion, GARCH, Meltdown, OLSE, Volatility Spillover, Volatility Transfer.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".