Volatility Model Choice for Sub-Saharan Frontier Equity Markets - A Markov Regime Switching Bayesian Approach

EMAJ: Emerging Markets Journal

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Field Value
 
Title Volatility Model Choice for Sub-Saharan Frontier Equity Markets - A Markov Regime Switching Bayesian Approach
 
Creator Korkpoe, Carl Hope
Howard, Nathaniel
 
Subject Regime-Switching; Bayesian Markov Chain Monte Carlo; Frontier Equity Markets; Business; Statistics
 
Description 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 in the evolution of volatility across these markets and also that two-regime switching volatility models describe better the heteroscedastic returns generating processes in these markets using the deviance information criteria. We backtest the results to assess whether the models are a good fit for the data. We concluded that, the selected models are the most suitable for predicting the volatility of future returns in the markets studied. 
 
Publisher University Library System, University of Pittsburgh
 
Contributor
 
Date 2019-08-05
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://emaj.pitt.edu/ojs/index.php/emaj/article/view/172
10.5195/emaj.2019.172
 
Source EMAJ: Emerging Markets Journal; Vol 9, No 1 (2019); 69-79
2158-8708
 
Language eng
 
Relation http://emaj.pitt.edu/ojs/index.php/emaj/article/view/172/343
 
Rights Copyright (c) 2019 Carl Hope Korkpoe, Nathaniel Howard
https://creativecommons.org/licenses/by/4.0
 

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