Modelling the volatility of the Ghana stock market: A comparative study
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Date
2023
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International Journal of Statistics and Applied Mathematics
Abstract
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.
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This article is published by International Journal of Statistics and Applied Mathematics,2023
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International Journal of Statistics and Applied Mathematics