文章基本信息

标题：Volatility Comparison of the GSE All Share Index Returns using Student t and Normal-GARCH models
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作者：Carl H. Korkpoe ; Peterson Owusu Junior
期刊名称：African Journal of Management Research
印刷版ISSN：2458-7435
出版年度：2016
卷号：24
页码：94-108
语种：English
出版社：African journals online
摘要：In a frontier equity market like Ghana, trades can be quiet for long periods increasing the liquidity risk for investors. This notwithstanding, studies into the risk dynamics of the stock market are largely lacking for the Ghana Stock Exchange (GSE). In this paper, we have undertaken to use a dynamic volatility model, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) to assess the risk of equity returns in the market. A comparison is made between the student-t and normal GARCH(1,1) models to ascertain a better fit for the market data. Using a daily log of adjusted return series of the Ghana Stock Exchange All Share Index (GSEASI) from January 04, 2011 to December 31, 2013, there is enough evidence that the student-t GARCH(1,1) better describes the volatility dynamics of the market for the period 2011 to 2013.
关键词：Volatility;Normal-GARCH;Student;t-GARCH;Maximum Likelihood Estimation;Clustering;Market Crashes;EWMA