Browsing by Author "Odoi, Benjamin"

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    Modelling the volatility of the Ghana stock market: A comparative study
    (International Journal of Statistics and Applied Mathematics, 2023) Agyarko, Kofi; Wiah, Eric Neebo; Frempong, Nana Kena; Odoi, Benjamin; 0000-0002-7138-3526
    The Ghana stock market is considered attractive to both local and international investors, as it is a developing market with potential for growth. The volatility of stock returns is one of the crucial features of Ghana's stock market that should be carefully taken into account by any investor or policymaker. As a result, the GARCH, TGARCH, and EGARCH models were used in this study to analyze the volatility of the Ghanaian stock market. The models were assessed using Akaike Information Criterion (AIC), RMSE and MAPE. The TGARCH (1,1) with generalized error distribution was the model that suited the data the best based on the AIC, RMSE, and MAPE values.