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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
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    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.

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    Bibliographic Info

    Article provided by Inderscience Enterprises Ltd in its journal Afro-Asian J. of Finance and Accounting.

    Volume (Year): 1 (2008)
    Issue (Month): 2 ()
    Pages: 129-139

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    Handle: RePEc:ids:afasfa:v:1:y:2008:i:2:p:129-139

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    Web page: http://www.inderscience.com/browse/index.php?journalID=214

    Related research

    Keywords: forecasting volatility; Gulf Cooperation Council; GCC markets; emerging markets; skewness; Saudi Arabia; Kuwait; Abu Dhabi; asset returns; kurtosis; alternative models.;

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