Frimpong, Joseph Magnus and Oteng-Abayie, Eric Fosu (2006): Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models.
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This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW), GARCH(1,1), EGARCH(1,1), and TGARCH(1,1) models. The unique ‘three days a week’ Databank Stock Index (DSI) is used to study the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated and their specification and forecast performance compared with each other, using AIC and LL information criteria and BDS nonlinearity diagnostic checks. The DSI exhibits the stylized characteristics such as volatility clustering, leptokurtosis and asymmetry effects associated with stock market returns on more advanced stock markets. The random walk hypothesis is rejected for the DSI. Overall, the GARCH (1,1) model outperformed the other models under the assumption that the innovations follow a normal distribution.
|Item Type:||MPRA Paper|
|Original Title:||Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models|
|Keywords:||Ghana Stock Exchange; developing financial markets; volatility; GARCH model|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection
G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets
G - Financial Economics > G1 - General Financial Markets > G10 - General
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Eric Fosu Oteng-Abayie|
|Date Deposited:||27. Oct 2006|
|Last Modified:||13. Feb 2013 15:45|
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