Modelling stock return volatility: Comparative evidence from selected emerging African and Western developed markets

Coffie, W. and Chukwulobelu, O. (2014) Modelling stock return volatility: Comparative evidence from selected emerging African and Western developed markets. International Journal of Management Practice, 7 (4). pp. 366-379. ISSN 14779064 (ISSN)

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Abstract

This paper investigates volatility persistence by comparing evidence from selected emerging African and Western developed markets, taking into account the rate of volatility decay. Generalised Autoregressive Conditional Heteroscedasticity (GARCH) and GARCH-in-mean (GARCH-M) models are used to estimate volatility persistence and risk premium for these markets. The results presented here suggest that there is volatility persistence in the four emerging African markets and the five developed markets. The study concludes that volatility risk exists in these markets and investors would require compensation for bearing this type of risk. Copyright © 2014 Inderscience Enterprises Ltd.

Item Type:	Article
Identification Number:	10.1504/IJMP.2014.065232
Dates:	Date Event 2014 Published
Uncontrolled Keywords:	African stock markets, Developed markets, GARCH, GARCH-M, Return volatility
Subjects:	CAH15 - social sciences > CAH15-02 - economics > CAH15-02-01 - economics
Divisions:	Business School > Accountancy, Finance and Economics Business School > Management, Business and Marketing Law and Social Sciences > Criminology and Sociology > Criminology Law and Social Sciences > Criminology and Sociology > Sociology
Depositing User:	Yasser Nawaz
Date Deposited:	23 Nov 2016 15:01
Last Modified:	04 Aug 2025 13:00
URI:	https://www.open-access.bcu.ac.uk/id/eprint/1952