*Financial Time Series Analysis via Backtesting Approach DOI: http://dx.doi.org/10.5772/intechopen.94112*

the daily stock price of Zenith Bank returns were modeled with nine different GARCH models (sGARCH, gjrGARCH, eGARCH, iGARCH, aPARCH, TGARCH, NGARCH, NAGARCH and AVGARCH) with maximum lag of 2. Most the information criteria for the sGARCH model were not available because the model fails to converge. The lowest information criteria were associated with apARCH (2,2) with Student t-distribution followed by NGARCH(2,1) with skewed student t distribution. The caution here is that GARCH model should not be selected only based on information criteria only but the significance value of the coefficients, goodness-oftest fit and backtesting should be considered also [3]. The estimated GARCH models for the zenith bank stock with nine different GARCH models (sGARCH, gjrGARCH, eGARCH, iGARCH, aPARCH, TGARCH, NGARCH, NAGARCH and AVGARCH) shows that most of the coefficients of the fitted GARCH models were

