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 |
| Language: | English |
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Elsevier
2016
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| Online Access: | http://eprints.usm.my/38472/ http://eprints.usm.my/38472/1/Comparison_of_forecasting_performance_between_MODWT-GARCH%281%2C1%29_and_MODWT-EGARCH%281%2C1%29.pdf |
| _version_ | 1848878479142027264 |
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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 | 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 accurate forecast value of the returns. The study used the daily returns of four
African countries' stock market indices for the period January 2, 2000, to December 31, 2014. The Maximal Overlap Discreet
Wavelet Transform-GARCH(1,1) model and the Maximal Overlap Discreet Wavelet Transform-EGARCH(1,1) model are exhaustively
compared. The results show that although both models fit the returns data well, the forecast produced by the Maximal Overlap
Discreet Wavelet Transform-EGARCH(1,1) model actually underestimates the observed returns whereas the Maximal Overlap
Discreet Wavelet Transform-GARCH(1,1) model generates an accurate forecast value of the observed returns. |
| first_indexed | 2025-11-15T17:31:59Z |
| format | Article |
| id | usm-38472 |
| institution | Universiti Sains Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T17:31:59Z |
| publishDate | 2016 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | usm-384722018-01-23T01:43:26Z http://eprints.usm.my/38472/ Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets Ismail, Mohd Tahir Audu, Buba Tumala, Mohammed Musa QA1-939 Mathematics 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 accurate forecast value of the returns. The study used the daily returns of four African countries' stock market indices for the period January 2, 2000, to December 31, 2014. The Maximal Overlap Discreet Wavelet Transform-GARCH(1,1) model and the Maximal Overlap Discreet Wavelet Transform-EGARCH(1,1) model are exhaustively compared. The results show that although both models fit the returns data well, the forecast produced by the Maximal Overlap Discreet Wavelet Transform-EGARCH(1,1) model actually underestimates the observed returns whereas the Maximal Overlap Discreet Wavelet Transform-GARCH(1,1) model generates an accurate forecast value of the observed returns. Elsevier 2016 Article PeerReviewed application/pdf en http://eprints.usm.my/38472/1/Comparison_of_forecasting_performance_between_MODWT-GARCH%281%2C1%29_and_MODWT-EGARCH%281%2C1%29.pdf Ismail, Mohd Tahir and Audu, Buba and Tumala, Mohammed Musa (2016) Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets. Journal of Finance and Data Science, 2. pp. 254-264. ISSN 2405-9188 http://www.keaipublishing.com/en/journals/jfds/ |
| spellingShingle | QA1-939 Mathematics Ismail, Mohd Tahir Audu, Buba Tumala, Mohammed Musa Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets |
| title | Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets |
| title_full | Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets |
| title_fullStr | Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets |
| title_full_unstemmed | Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets |
| title_short | Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets |
| title_sort | comparison of forecasting performance between modwt-garch(1,1) and modwt-egarch(1,1) models: evidence from african stock markets |
| topic | QA1-939 Mathematics |
| url | http://eprints.usm.my/38472/ http://eprints.usm.my/38472/ http://eprints.usm.my/38472/1/Comparison_of_forecasting_performance_between_MODWT-GARCH%281%2C1%29_and_MODWT-EGARCH%281%2C1%29.pdf |