Title: Modelling stock return volatility: comparative evidence from selected emerging African and Western developed markets
Authors: William Coffie; Osita Chukwulobelu
Addresses: Department of Finance, Accounting & Business, Wolverhampton Business School, Faculty of Social Sciences, University of Wolverhampton, Nursery Street, City Campus, Wolverhampton, WV1 1AD, UK ' Birmingham City Business School, Birmingham City University, Galton Building, Franchise Street, City North Campus, Perry Barr, Birmingham, B42 2SU, UK
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.
Keywords: Africa; stock markets; developed markets; developing markets; emerging markets; stock returns; return volatility; GARCH-M; volatility decay; volatility persistence; risk premiums.
International Journal of Management Practice, 2014 Vol.7 No.4, pp.366 - 379
Available online: 16 Oct 2014 *Full-text access for editors Access for subscribers Purchase this article Comment on this article