DEVELOPING THE HYBRID ARIMA- FIGARCH MODEL FOR TIME SERIES ANALYSIS

This study takes into account the newly developed hybrid ARIMA-FIGARCH. We use daily price index of S&P 500. The data employed for this was secondary in nature all variables and obtained from publications Central Bank Nigeria Bulletin, National Bureau Statistics, World Statistics Database, dated January 2005 to December 2020. Also, result Jarque-Bera test indicated that p-values were less than alpha level significance (0.05). Hence, we would reject null hypothesis are normally distributed. unit root tests conducted using ADF KPSS tests. shows variable is stationary at a 5% significance. That means integrated order zero, i.e., 1 (0). And test, 0.881749 greater 0.463000, indicating it not significant 1, stationary, whereas 0.011158, which 1. necessary determine series avoid getting spurious results. estimate fractional difference order, d, by Geweke Porte-Hudak (GPH) method testing present long memory series. results show value...