文章基本信息

标题：All Markets are not Created Equal - Evidence from the Ghana Stock Exchange
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作者：Carl H. Korkpoe ; Carl H. Korkpoe ; Edward Amarteifio 等
期刊名称：International Journal of Finance and Accounting
印刷版ISSN：2168-4812
电子版ISSN：2168-4820
出版年度：2018
卷号：7
期号：1
页码：7-12
DOI：10.5923/j.ijfa.20180701.02
语种：English
出版社：Scientific & Academic Publishing Co.
摘要：We investigated the model fit for volatility of returns from the Ghana Stock Exchange All Share Index for the Bayesian versions of GARCH(1,1) with student-t innovations and stochastic volatility. We found evidence in favour of the GARCH(1,1) with student-t innovations against the recommendation from the developed equity markets of preference for stochastic volatility models. We are of the view that model fit has to do with the development stage of a particular market. Issues like thin and asynchronous trading influence the data generating process; hence, we view financial econometric models as suitable to data depending on whether the market is developed, emerging or frontier.
关键词：Stochastic volatility; GARCH(1;1); Bayesian methodology