Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets

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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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Bibliographic Details
Main Authors:	Ismail, Mohd Tahir, Audu, Buba, Tumala, Mohammed Musa
Format:	Article
Language:	English
Published:	Elsevier 2016
Subjects:	QA1-939 Mathematics
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

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