ARTÍCULO
TITULO

Volatility Model Choice for Sub-Saharan Frontier Equity Markets - A Markov Regime Switching Bayesian Approach

Carl Hope Korkpoe    
Nathaniel Howard    

Resumen

We adopt a granular approach to estimating the risk of equity returns in sub-Saharan African frontier equity markets under the assumption that, returns are influenced by developments in the underlying economy. Four countries were studied ? Botswana, Ghana, Kenya and Nigeria. We found heterogeneity in the evolution of volatility across these markets and also that two-regime switching volatility models describe better the heteroscedastic returns generating processes in these markets using the deviance information criteria. We backtest the results to assess whether the models are a good fit for the data. We concluded that, the selected models are the most suitable for predicting the volatility of future returns in the markets studied. 

 Artículos similares

       
 
Willem Thorbecke    
Inflation in 2021 and 2022 grew much faster than the Federal Reserve expected. The Fed downplayed inflation in 2021 and then increased the federal funds rate by 500 basis points between March 2022 and May 2023. This paper investigates how this unpreceden... ver más

 
Ayodeji Michael Obadire, Vusani Moyo and Ntungufhadzeni Freddy Munzhelele    
Financial institutions, particularly banks, have long grappled with the dilemma of structuring their capital optimally. This process, commonly referred to as capital structure decision-making, is of paramount importance, especially within the financial s... ver más

 
Damianos P. Sakas, Nikolaos T. Giannakopoulos, Markos Margaritis and Nikos Kanellos    
Due to the volatility of the markets and the ongoing crises (COVID-19, the Ukrainian war, etc.), investors are keen to exploit any potential chances to make profits. For this reason, the idea of harvesting data from cryptocurrency market users takes an i... ver más

 
Sofia Karagiannopoulou, Konstantina Ragazou, Ioannis Passas, Alexandros Garefalakis and Nikolaos Sariannidis    
This study aimed to investigate the interactions between Bitcoin to euro, gold, and STOXX50 during the period of COVID-19. First, a bibliometric analysis based on the R package was applied to highlight the research trends in the field during the period o... ver más

 
Zdenek Zme?kal, Dana Dluho?ová, Karolina Lisztwanová, Antonín Poncík and Iveta Ratmanová    
The paper is focused on predicting the financial performance of a small open economy with an automotive industry with an above-standard share. The paper aims to predict the probability distribution of the decomposed relative economic value-added measure ... ver más
Revista: Forecasting