Volatility Model Choice for Sub-Saharan Frontier Equity Markets - A Markov Regime Switching Bayesian Approach
We adopt a granular approach to estimating the risk of equity returns in sub-Saharan African frontier equity markets under the assumption that, returns are influenced by developments in the underlying economy. Four countries were studied – Botswana, Ghana, Kenya and Nigeria. We found heterogeneity i...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University Library System, University of Pittsburgh
2019-08-01
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| Series: | Emerging Markets Journal |
| Subjects: | |
| Online Access: | http://emaj.pitt.edu/ojs/index.php/emaj/article/view/172 |