Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets
The daily returns of four African countries' stock market indices for the period January 2, 2000, to December 31, 2014, were employed to compare the GARCH(1,1) model and a newly proposed Maximal Overlap Discreet Wavelet Transform (MODWT)- GARCH(1,1) model. The results showed that although bot...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2016
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| Subjects: | |
| Online Access: | http://eprints.usm.my/37283/1/%28Volatility_forecasting_with_the_wavelet%29_1-s2.0-S240591881630006X-main.pdf |