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

• Main Authors: Ismail, Mohd Tahir, Audu, Buba, Tumala, Mohammed Musa
• 格式: Article
• 语言: English
• 出版: Elsevier 2016
• 主题: QA1-939 Mathematics
• 在线阅读: 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...