کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7412919 | 1481749 | 2016 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
تامین مالی
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چکیده انگلیسی
The daily returns of four African countries' stock market indices for the period January 2, 2000, to December 31, 2014, were employed to compare the GARCH(1,1) model and a newly proposed Maximal Overlap Discreet Wavelet Transform (MODWT)-GARCH(1,1) model. The results showed that although both models fit the returns data well, the forecast produced by the GARCH(1,1) model underestimates the observed returns whereas the newly proposed MODWT-GARCH(1,1) model generates an accurate forecast value of the observed returns. The results generally showed that the newly proposed MODWT-GARCH(1,1) model best fits returns series for these African countries. Hence the proposed MODWT-GARCH should be applied on other context to further verify its validity.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Journal of Finance and Data Science - Volume 2, Issue 2, June 2016, Pages 125-135
Journal: The Journal of Finance and Data Science - Volume 2, Issue 2, June 2016, Pages 125-135
نویسندگان
Mohd Tahir Ismail, Buba Audu, Mohammed Musa Tumala,