Measuring volatility persistence and risk in Southern and East African stock markets Online publication date: Sun, 30-Nov-2014
by William Coffie
International Journal of Economics and Business Research (IJEBR), Vol. 9, No. 1, 2015
Abstract: This paper investigates volatility persistence in Southern and East African stock markets taking into account the rate of volatility decay. Generalised autoregressive conditional heteroscedaticity (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 emerging Southern and East African stock markets. Further empirical estimates show that rate of volatility decay varies considerably among the markets, for example, volatility in Mauritius diminishes to half of its original size within seven hours, while it takes almost eight months for volatility in Zambia to taper off to half of its original size. The study concludes that volatility risk exists in emerging Southern and East African stock markets and investors would require compensation for bearing this type of risk. The results here have important implications for portfolio allocation, asset pricing and risk management.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Economics and Business Research (IJEBR):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com