Inter-Bank Call Rate Volatility and the Global Financial Crisis: The Nigerian Case
Bibliographic record
Abstract
This paper investigated the volatility of interbank call rates in Nigeria using GARCH (1, 1), EGARCH (1, 1), TS-GARCH (1, 1) and PARCH (1, 1) models in the light of the stock market crash and global financial crisis. Using data over the period, June 11, 2007 and May 20, 2009, volatility persistence and asymmetric properties are investigated for the Nigerian interbank call money market. The result shows that volatility is persistent. The hypothesis of asymmetry and leverage effect is rejected. It is found that the Nigerian interbank call money market returns show high persistence in the volatility but it shows clustering properties. The result shows the stock market crash and global financial crisis have impact on interbank call rate return but not on its volatility. The stock market crash and global financial crisis could have accounted for the sudden change in variance. The augmented TS-GARCH (1, 1) model is found to be the best model.
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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 | 0.002 | 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) | 0.000 | 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".