Comparison of forecasting performance between MODWT-GARCH(1,1) and MODWT-EGARCH(1,1) models: Evidence from African stock markets

• 主要な著者: Ismail, Mohd Tahir, Audu, Buba, Tumala, Mohammed Musa
• フォーマット: 論文
• 言語: English
• 出版事項: Elsevier 2016
• 主題: QA1-939 Mathematics
• オンライン･アクセス: http://eprints.usm.my/38472/1/Comparison_of_forecasting_performance_between_MODWT-GARCH%281%2C1%29_and_MODWT-EGARCH%281%2C1%29.pdf; http://eprints.usm.my/38472/; http://www.keaipublishing.com/en/journals/jfds/

Many researchers documented that if stock markets' returns series are significantly skewed, linear-GARCH(1,1) grossly underestimates the forecast values of the returns. However, this study showed that the linear Maximal Overlap Discreet Wavelet Transform MODWT-GARCH(1,1) actually gives an acc...