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

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 m...

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Bibliographic Details
Main Authors: Mohd Tahir Ismail, Buba Audu, Mohammed Musa Tumala
Format: Article
Published: KeAi Communications Co., Ltd. 2016-06-01
Series:Journal of Finance and Data Science
Online Access:http://www.sciencedirect.com/science/article/pii/S240591881630006X