Forecasting the Jordanian stock index: modelling asymmetric volatility and distribution effects within a GARCH framework

Forecasting the Jordanian stock index: modelling asymmetric volatility and distribution effects within a GARCH framework

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The modelling of market returns can be especially problematical in emerging and frontier financial markets given the propensity of their returns to exhibit significant non-normality and volatility asymmetries. This paper attempts to identify which representations within the GARCH family of models c...

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Bibliographic Details
Main Authors: Heitham Al-Hajieh, Hashem AlNemer, Timothy Rodgers, Jacek Niklewski
Format: Article
Language:English
Published: Nicolaus Copernicus University in Toruń 2015-12-01
Series:Copernican Journal of Finance & Accounting
Subjects:
GARCH
asymmetry
distributions
Online Access:https://apcz.umk.pl/CJFA/article/view/8193

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