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...
Main Authors: | Ismail, Mohd Tahir (Author), Audu, Buba (Author), Tumala, Mohammed Musa (Author) |
---|---|
Format: | Article |
Language: | English |
Published: |
Elsevier,
2016-06.
|
Subjects: | |
Online Access: | Get fulltext |
Similar Items
-
Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets
by: Ismail, Mohd Tahir, et al.
Published: (2016) -
Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets
by: Mohd Tahir Ismail, et al.
Published: (2016-06-01) -
Application of Empirical Mode Decomposition with Local Linear Quantile Regression in Financial Time Series Forecasting
by: M. Jaber, Abobaker, et al. -
Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets
by: Mohd Tahir Ismail, et al.
Published: (2016-12-01) -
Empirical Mode Decomposition Combined with Local Linear Quantile Regression for Automatic Boundary Correction
by: M. Jaber, Abobaker, et al.
Published: (2014)