International Journal of Development and Sustainability ISSN: 2186-8662 – www.isdsnet.com/ijds Volume 3 Number 9 (2014): Pages 1894-1900 ISDS Article ID: IJDS14050301 Modelling Nigerian stock market news using TGARCH model Henry Osahon Osazevbaru * Department of Accounting & Finance, Faculty of the Social Sciences, Delta State University, P.M.B. 1 Abraka, Delta State - Nigeria Abstract The stylized facts in the literatures show that in a volatile stock market, the forecast of the rate of return of a security is not enough information for decision making. The investor needs to examine the behaviour of the conditional variance of the return to estimate the riskiness of an asset to provide further guide in the decision making process. Against this backdrop, this paper investigates the hypothesized relationship between market news and volatility; that is, that bad news has larger impact on volatility than good news of the same magnitude. Using daily and monthly stock data of the Nigerian stock market over the period 1995 to 2011, the Threshold Generalized Autoregressive Conditional Heteroscedasticity, TGARCH (1 1) model was estimated. It was found that there are no asymmetries in the news and so the impact of bad news is not larger on volatility than good news. Also, the impulse-response function was quite high and is symptomatic of shocks dissipating very slowly. Implicitly, the market is such that old information wields more importance than recent information. Keywords: News asymmetries; Volatility; Impulse-response function; Market shocks * Corresponding author. E-mail address: henryosas@yahoo.com Published by ISDS LLC, Japan | Copyright © 2014 by the Author(s) | This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Cite this article as: Osazevbaru, H.O. (2014), “Modelling Nigerian stock market news using TGARCH model”, International Journal of Development and Sustainability, Vol. 3 No. 9, pp. 1894-1900.