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Forecasting volatility in Gulf Cooperation Council emerging markets: the predictive power of alternative models

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  • Ibrahim A. Onour

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.

Suggested Citation

  • Ibrahim A. Onour, 2008. "Forecasting volatility in Gulf Cooperation Council emerging markets: the predictive power of alternative models," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 1(2), pages 129-139.
    • Handle: RePEc:ids:afasfa:v:1:y:2008:i:2:p:129-139
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