Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets

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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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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/38472/ http://eprints.usm.my/38472/1/Comparison_of_forecasting_performance_between_MODWT-GARCH%281%2C1%29_and_MODWT-EGARCH%281%2C1%29.pdf

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