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Modelling stock return volatility: comparative evidence from selected emerging African and Western developed markets

Author

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  • William Coffie
  • Osita Chukwulobelu

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.

Suggested Citation

  • William Coffie & Osita Chukwulobelu, 2014. "Modelling stock return volatility: comparative evidence from selected emerging African and Western developed markets," International Journal of Management Practice, Inderscience Enterprises Ltd, vol. 7(4), pages 366-379.
    • Handle: RePEc:ids:ijmpra:v:7:y:2014:i:4:p:366-379
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