Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets

Ismail, Mohd Tahir and Audu, Buba and Tumala, Mohammed Musa (2016) Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets. Journal of Finance and Data Science, 2 (2). pp. 125-135. ISSN 2405-9188

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Abstract

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.

Item Type:	Article
Subjects:	Q Science > QA Mathematics > QA1-939 Mathematics
Divisions:	Pusat Pengajian Sains Matematik (School of Mathematical Sciences) > Article
Depositing User:	Mr Noorazilan Noordin
Date Deposited:	31 Oct 2017 03:39
Last Modified:	31 Oct 2017 03:39
URI:	http://eprints.usm.my/id/eprint/37283

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