Modelling stock return volatility: comparative evidence from selected emerging African and Western developed markets
by William Coffie; Osita Chukwulobelu
International Journal of Management Practice (IJMP), Vol. 7, No. 4, 2014

Abstract: This paper investigates volatility persistence by comparing evidence from selected emerging African and Western developed markets, taking into account the rate of volatility decay. Generalised Autoregressive Conditional Heteroscedasticity (GARCH) and GARCH-in-mean (GARCH-M) models are used to estimate volatility persistence and risk premium for these markets. The results presented here suggest that there is volatility persistence in the four emerging African markets and the five developed markets. The study concludes that volatility risk exists in these markets and investors would require compensation for bearing this type of risk.

Online publication date: Thu, 16-Oct-2014

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