Equity return volatility in Africa’s stock markets: A dynamic panel approach
AbstractThis study examines the determinants of time-varying return volatility of Africa’s equity markets using monthly indices of eight top African stock markets. The conditional variance is modelled as a proxy for Africa’s volatility indices using the best fitting model among SGARCH, EGARCH and GJ...
| Published in: | Cogent Economics & Finance |
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| Main Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2023-10-01
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| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2023.2258704 |