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Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange

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  • Abdelhamid El Bouhadi

    (Cadi Ayyad of Marrakech University)

Abstract

Volatility plays an important role in the explanation of prices of securities and their derivatives as well as risk which are relative to them. The stock exchange of Casablanca constitutes a market meadow emergent of MEA zone for which the problem of volatility should not be underestimated for the causes of lack of the making in the order book. The introduction of the electronic system in 1998 allowed continuous quotation of a number restricted by securities liquidity of which does not seem even so important. We test in this paper the conditional volatility of a certain number of securities considered as active and which to be result from the MADEX index. Results show a certain asymmetric volatility of the major securities. The use of the asymmetric GARCH allowed us better to describe rough variations of prices provoked by large quantities traded in block market. These models throw back quadratic specification of the conditional variance lauded by GARCH standard models. Indeed, with regard to these last ones, exponential model GARCH and threshold GARCH have two advantages. While standard model GARCH puts that only the amplitude of shock and not the sign of the past residuals has an impact on the conditional variance, EGARCH and TGARCH models allows an asymmetric answer to shocks. Second advantage is that not conditional variance is discrete.

Suggested Citation

  • Abdelhamid El Bouhadi, 2003. "Conditional Volatility Of Most Active Shares Of Casablanca Stock Exchange," Finance 0305007, EconWPA, revised 02 Feb 2004.
  • Handle: RePEc:wpa:wuwpfi:0305007
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    References listed on IDEAS

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    1. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-927, July.
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    7. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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    More about this item

    Keywords

    Volatility ; Asymmetric GARCH ; none Linearity ; MADEX ; The stock exchange of Casablanca.;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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