Forecasting Efficacy of Hybrid ARFIMA-FIGARCH Model: An Application to Returns and Volatility of the Nigerian All Share Index
This study investigates the forecasting efficacy of a hybrid AFIMA-FIGARCH model within a fractional integration framework for capturing dual long-memory dynamics: persistence in both returns (conditional mean) and volatility (conditional variance) of the Nigerian All Share Index (ASI) using daily data spanning from Ja...