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There is quite an extensive literature documenting the behaviour of stock returns volatility in both developed and emerging stock markets, but such studies are scanty for the Nigerian Stock Exchange (NSE). Modelling volatility is an important element in pricing equity, risk management and portfolio management. For these reasons, this study investigates the behavior of stock return volatility of the NSE returns using GARCH (1,1). Monthly All Share Indices as a proxy for stock return of the NSE from January 1998, to December 2015, provided the empirical sample for investigating volatility persistence and asymmetric properties of the series. The results of GARCH (1,1) model indicate evidence of volatility clustering in the NSE return series. Overall results from this study provide evidence to show volatility persistence for the Nigeria stock returns data. The study recommends that timely disclosure and appropriate dissemination of company specific information to the investors will improve the efficiency of the stock market in Nigeria.
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