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Modeling and Forecasting Egyptian Stock Market Volatility Before and After Price Limits

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  • Eskandar A. Tooma

    (The American University in Cairo)

Abstract

This paper investigates the impact of price limits on volatility dynamics in the Egyptian Stock Exchange. A variety of mean and variance specifications in GARCH type models (GARCH, EGARCH, GJR, and APARCH), and four different error distributions (Normal, Student-t, GED, and Skewed-t) are utilized. Results from examining a split sample suggest significant changes in the time varying volatility process. In-sample results, prior to the imposition of price limits exhibit leptokurtosis, yet showing no sign of the widely cited leverage effect. In-sample results, after the imposition of price limits display both leptokurtosis and the leverage effect. Out-of-sample forecasts depict the leverage effects, when present, but provide conflicting results regarding the distribution.

Suggested Citation

  • Eskandar A. Tooma, 2003. "Modeling and Forecasting Egyptian Stock Market Volatility Before and After Price Limits," Working Papers 0310, Economic Research Forum, revised Apr 2003.
    • Handle: RePEc:erg:wpaper:0310
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    Cited by:

    1. Ibrahim, Omar, 2019. "Modelling Risk on the Egyptian Stock Market: Evidence from a Markov-Regime Switching GARCH Process," MPRA Paper 98091, University Library of Munich, Germany.
    2. Carl H. Korkpoe & Peterson Owusu Junior, 2018. "Behaviour of Johannesburg Stock Exchange All Share Index Returns - An Asymmetric GARCH and News Impact Effects Approach," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 68(1), pages 26-42, January-M.
    3. Eymen Errais & Dhikra Bahri, 2016. "Is Standard Deviation a Good Measure of Volatility? the Case of African Markets with Price Limits," Annals of Economics and Finance, Society for AEF, vol. 17(1), pages 145-165, May.
    4. Abdmoulah, Walid, 2010. "Testing the evolving efficiency of Arab stock markets," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 25-34, January.

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