Bull and Bear Dynamics of the Nigeria Stock Returns Transitory via Mingled Autoregressive Random Processes
- 1 Department of Mathematical Sciences, Pan African University Institute for Basic Sciences, Technology and Innovation, Nairobi, Kenya
- 2 Department of Mathematical Sciences, Jomo Kenyatta University of Agriculture and Technology, Nairobi, Kenya
- 3 Department of Mathematics and Statistics, Kabale University, Kabale, Uganda
Abstract
This paper expounds the nitty-gritty of stock returns transitory, periodical behavior of its markets’ demands and cyclical-like tenure-changing of number of the stocks sold. Mingling of autoregressive random processes via Poisson and Extreme-Value-Distributions (Fréchet, Gumbel, and Weibull) error terms were designed, generalized and imitated to capture stylized traits of k-serial tenures (ability to handle cycles), Markov transitional mixing weights , switching of mingling autoregressive processes and full range shape changing predictive distributions (multimodalities) that are usually caused by large fluctuation s (outliers) and long-memory in stock returns. The Poisson and Extreme-Value-Distributions Mingled Autoregressive (PMA and EVDs) models were applied to a monthly number of stocks sold in Nigeria from 1960 to 2020. It was deduced that fitted Gumbel-MAR (2:1, 1) outstripped other linear models as well as best fitted among the Poisson and Extreme-Value- Distributions Mingled autoregressive models subjected to the discrete monthly stocks sold series.
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