Modelling the volatility of the Ghana stock market: A comparative study

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dc.contributor.authorAgyarko, Kofi
dc.contributor.authorWiah, Eric Neebo
dc.contributor.authorFrempong, Nana Kena
dc.contributor.authorOdoi, Benjamin
dc.contributor.orcid0000-0002-7138-3526
dc.date.accessioned2024-07-26T09:40:52Z
dc.date.available2024-07-26T09:40:52Z
dc.date.issued2023
dc.descriptionThis article is published by International Journal of Statistics and Applied Mathematics,2023
dc.description.abstractThe 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.
dc.description.sponsorshipKNUST
dc.identifier.citationInternational Journal of Statistics and Applied Mathematics
dc.identifier.issnI 2456-1452
dc.identifier.urihttps://ir.knust.edu.gh/handle/123456789/15878
dc.language.isoen
dc.publisherInternational Journal of Statistics and Applied Mathematics
dc.titleModelling the volatility of the Ghana stock market: A comparative study
dc.typeArticle
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