Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets
The daily returns of four African countries' stock market indices for the period January 2, 2000, to December 31, 2014, were employed to compare the GARCH(1,1) model and a newly proposed Maximal Overlap Discreet Wavelet Transform (MODWT)- GARCH(1,1) model. The results showed that although bot...
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2016
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| Online Access: | http://eprints.usm.my/37283/ http://eprints.usm.my/37283/1/%28Volatility_forecasting_with_the_wavelet%29_1-s2.0-S240591881630006X-main.pdf |
| _version_ | 1848878150759481344 |
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| author | Ismail, Mohd Tahir Audu, Buba Tumala, Mohammed Musa |
| author_facet | Ismail, Mohd Tahir Audu, Buba Tumala, Mohammed Musa |
| author_sort | Ismail, Mohd Tahir |
| building | USM Institutional Repository |
| collection | Online Access |
| description | The daily returns of four African countries' stock market indices for the period January 2, 2000, to December 31, 2014, were
employed to compare the GARCH(1,1) model and a newly proposed Maximal Overlap Discreet Wavelet Transform (MODWT)-
GARCH(1,1) model. The results showed that although both models fit the returns data well, the forecast produced by the GARCH(1,1)
model underestimates the observed returns whereas the newly proposed MODWT-GARCH(1,1) model generates an accurate
forecast value of the observed returns. The results generally showed that the newly proposed MODWT-GARCH(1,1) model best fits
returns series for these African countries. Hence the proposed MODWT-GARCH should be applied on other context to further
verify its validity. |
| first_indexed | 2025-11-15T17:26:46Z |
| format | Article |
| id | usm-37283 |
| institution | Universiti Sains Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T17:26:46Z |
| publishDate | 2016 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | usm-372832017-10-31T03:39:33Z http://eprints.usm.my/37283/ Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets Ismail, Mohd Tahir Audu, Buba Tumala, Mohammed Musa QA1-939 Mathematics The daily returns of four African countries' stock market indices for the period January 2, 2000, to December 31, 2014, were employed to compare the GARCH(1,1) model and a newly proposed Maximal Overlap Discreet Wavelet Transform (MODWT)- GARCH(1,1) model. The results showed that although both models fit the returns data well, the forecast produced by the GARCH(1,1) model underestimates the observed returns whereas the newly proposed MODWT-GARCH(1,1) model generates an accurate forecast value of the observed returns. The results generally showed that the newly proposed MODWT-GARCH(1,1) model best fits returns series for these African countries. Hence the proposed MODWT-GARCH should be applied on other context to further verify its validity. Elsevier 2016-06 Article PeerReviewed application/pdf en http://eprints.usm.my/37283/1/%28Volatility_forecasting_with_the_wavelet%29_1-s2.0-S240591881630006X-main.pdf Ismail, Mohd Tahir and Audu, Buba and Tumala, Mohammed Musa (2016) Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets. Journal of Finance and Data Science, 2 (2). pp. 125-135. ISSN 2405-9188 https://doi.org/10.1016/j.jfds.2016.09.002 |
| spellingShingle | QA1-939 Mathematics Ismail, Mohd Tahir Audu, Buba Tumala, Mohammed Musa Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets |
| title | Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets |
| title_full | Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets |
| title_fullStr | Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets |
| title_full_unstemmed | Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets |
| title_short | Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets |
| title_sort | volatility forecasting with the wavelet transformation algorithm garch model: evidence from african stock markets |
| topic | QA1-939 Mathematics |
| url | http://eprints.usm.my/37283/ http://eprints.usm.my/37283/ http://eprints.usm.my/37283/1/%28Volatility_forecasting_with_the_wavelet%29_1-s2.0-S240591881630006X-main.pdf |