Forecasting volatility in Gulf Cooperation Council emerging markets: the predictive power of alternative models
by Ibrahim A. Onour
Afro-Asian J. of Finance and Accounting (AAJFA), Vol. 1, No. 2, 2008

Abstract: In this paper, a forecast of conditional volatility in Saudi, Kuwait and Abu-Dhabi markets is performed. To capture the skewness and excess kurtosis that characterise asset returns in Gulf Cooperation Council markets, the conditional volatility of asset returns was estimated using skewed t-distribution, symmetric student t-distribution and the Normal distribution specifications. Prediction performance results indicate that the normal and symmetric t-distribution models outperform the skewed t-distribution model.

Online publication date: Sat, 01-Nov-2008

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