Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets
Many researchers documented that if stock markets' returns series are significantly skewed, linear-GARCH(1,1) grossly underestimates the forecast values of the returns. However, this study showed that the linear Maximal Overlap Discreet Wavelet Transform MODWT-GARCH(1,1) actually gives an acc...
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| Format: | Article |
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Elsevier
2016
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| Online Access: | http://www.keaipublishing.com/en/journals/jfds/ http://www.keaipublishing.com/en/journals/jfds/ http://eprints.usm.my/38472/1/Comparison_of_forecasting_performance_between_MODWT%2DGARCH(1%2C1)_and_MODWT%2DEGARCH(1%2C1).pdf |