Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using GARCH Models
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Cited by:
- Aastha KHERA & Dr. Miklesh Prasad YADAV, 2020. "Predicting the volatility in stock return of emerging economy: An empirical approach," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(4(625), W), pages 233-244, Winter.
- Ananda Chatterjee & Hrisav Bhowmick & Jaydip Sen, 2022. "Stock Volatility Prediction using Time Series and Deep Learning Approach," Papers 2210.02126, arXiv.org.
- Kumar Arya & Sahoo Jyotirmayee & Sahoo Jyotsnarani & Nanda Subhashree & Debyani Devi, 2024. "Exploring Asymmetric GARCH Models for Predicting Indian Base Metal Price Volatility," Folia Oeconomica Stetinensia, Sciendo, vol. 24(1), pages 105-123.
- Emenike, Kalu O., 2010. "Modelling Stock Returns Volatility In Nigeria Using GARCH Models," MPRA Paper 22723, University Library of Munich, Germany.
- George Amfo-Antiri & Edward Quansah, 2017. "Cointegration of Stock Prices and Domestic Portfolio Diversification Opportunities: Evidence from the Ghana Stock Exchange," Applied Economics and Finance, Redfame publishing, vol. 4(5), pages 78-93, September.
- Ntebogang Dinah Moroke, 2015. "An Optimal Generalized Autoregressive Conditional Heteroscedasticity Model for Forecasting the South African Inflation Volatility," Journal of Economics and Behavioral Studies, AMH International, vol. 7(4), pages 134-149.
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More about this item
Keywords
Ghana Stock Exchange; developing financial markets; volatility; GARCH model;All these keywords.
JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2006-12-04 (Corporate Finance)
- NEP-ECM-2006-12-04 (Econometrics)
- NEP-FOR-2006-12-04 (Forecasting)
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