Multivariate Volatility Modelling of Stock Prices For Some Selected Nigerian Solid Minerals

The need to provide an acceptable model and forecast for stock prices of solid minerals in Nigeria is valuable for investors and analysts. It will empower them to better understand and manage the associated risks in stock price movements. This study aimed to model and forecast the volatility of stock prices of solid minerals, like gold, tin, and zinc. The data utilized in this study was sourced from the Central Bank of Nigeria and Nigeria Stock Exchange. It is the monthly stock prices for selected solid minerals like; Gold, Tin, and Zinc. Multivariate GARCH models such as the VECH, BEKK, Diagonal VECH and Diagonal BEKK model were employed to provide the needed multivariate volatility modeling. The findings revealed that, on average, investors experienced positive returns, and a non-symmetric distribution. It was also discovered that intricate patterns exist within the volatility dynamics of these stocks. Volatility clustering, ARCH effects, and the persistence of volatility shocks over time was identified, emphasizing the non-random nature of stock returns volatility. It is recommended that investors and analysts carefully consider the implications of volatility clustering, ARCH effects, and persistence in volatility shocks when making investment decisions in the stock market, particularly regarding gold, tin, and zinc stocks.