The study examined and modeled stock market volatility of financial return series for three listed equities on the Ghana Stock Exchange (GSE). A historical data from 25th June 2007 to 31st October 2014 was considered for the analysis. The series for each of the three equities were tested for stationarity using the KPSS test. Series found to be non-stationary were transformed to be stationary. The study fitted a GARCH (p, q) model for volatility. GARCH (1, 1), GARCH (1, 2), GARCH (2, 1) and the GARCH (2, 2) models were fitted to residual series of some three equities. Results revealed the presence of volatilities in all three equities and also showed that volatility though present was not persistent in the three equities. For each of the com...
The modelling of stock market volatility is considered to be important for practitioners and academi...
Volatility in financial markets has attracted growing attention by academics, policy makers and prac...
Abstract: This study looks into the relationship between stock returns and volatility in South Afric...
Stock market is an important part of economy of a country. Measuring stock market volatility is an v...
Economic decisions are modeled based on perceived distribution of the random variables in the future...
This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using ...
In this paper, we apply the Generalized autoregressive conditional Heteroscedasticity (GARCH) model ...
This paper studies the performance of GARCH model and its modifications, using the rate of returns f...
One permanent characteristic of every stock market is volatility. Examining and forecasting stock ma...
The modelling of stock market volatility is considered to be important for practitioners and academi...
This paper investigates volatility persistence by comparing evidence from selected emerging African ...
Stock market volatility in two African exchanges, Khartoum Stock Exchange, KSE (from Sudan) and Cair...
There is quite an extensive literature documenting the behaviour of stock returns volatility in both...
This study looks into the relationship between stock returns and volatility in South Africa and Chin...
We tested different GARCH models in modeling the volatility of stock returns in London Stock Exchang...
The modelling of stock market volatility is considered to be important for practitioners and academi...
Volatility in financial markets has attracted growing attention by academics, policy makers and prac...
Abstract: This study looks into the relationship between stock returns and volatility in South Afric...
Stock market is an important part of economy of a country. Measuring stock market volatility is an v...
Economic decisions are modeled based on perceived distribution of the random variables in the future...
This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using ...
In this paper, we apply the Generalized autoregressive conditional Heteroscedasticity (GARCH) model ...
This paper studies the performance of GARCH model and its modifications, using the rate of returns f...
One permanent characteristic of every stock market is volatility. Examining and forecasting stock ma...
The modelling of stock market volatility is considered to be important for practitioners and academi...
This paper investigates volatility persistence by comparing evidence from selected emerging African ...
Stock market volatility in two African exchanges, Khartoum Stock Exchange, KSE (from Sudan) and Cair...
There is quite an extensive literature documenting the behaviour of stock returns volatility in both...
This study looks into the relationship between stock returns and volatility in South Africa and Chin...
We tested different GARCH models in modeling the volatility of stock returns in London Stock Exchang...
The modelling of stock market volatility is considered to be important for practitioners and academi...
Volatility in financial markets has attracted growing attention by academics, policy makers and prac...
Abstract: This study looks into the relationship between stock returns and volatility in South Afric...