Description

• Title:
  Forecasting the Jordanian stock index: modelling asymmetric volatility and distribution effects within a GARCH framework
• Creator:
  Al-Hajieh, Heitham;
  AlNemer, Hashem;
  Rodgers, Timothy;
  Niklewski, Jacek
• Description:
  The modelling of market returns can be especially problematical in emerging and frontier financial markets given the propensity of their returns to exhibit significant non-normality and volatility asymmetries. This paper attempts to identify which representations within the GARCH family of models can most efficiently deal with these issues. A number of different distributions (normal, Student t, GED and skewed Student) and different volatility of returns asymmetry representations (EGARCH and GJR- -GARCH) are examined. Our data set consists of daily Jordanian stock market returns over the period January 2000 – November 2014. Using both the Superior Predicative Ability (SPA) and Model Confidence Set (MCS) testing frameworks it is found that using GJR-GARCH with a skewed Student distribution most accurately and efficiently forecasts Jordanian market movements. Our findings are consistent with similar research undertaken in respect to developed markets.
• Object availability:
  free access
• Rights:
  Prawa autorskie (c) 2015 Copernican Journal of Finance & Accounting
• Date:
  2015.12.17
• Type:
  info:eu-repo/semantics/article;
  info:eu-repo/semantics/publishedVersion
• Language:
  English
• Source:
  Copernican Journal of Finance & Accounting; Vol. 4 No. 2 (2015); 9-25;
  Copernican Journal of Finance & Accounting; Tom 4 Nr 2 (2015); 9-25;
  2300-3065;
  2300-1240
• Format:
  application/pdf
• Publisher:
  Uniwersytet Mikołaja Kopernika w Toruniu
• Relation: https://apcz.umk.pl/CJFA/article/view/CJFA.2015.013/7403
• Subject:
  GARCH;
  asymmetry;
  distributions;
  C01;
  C58;
  G15
• Identifier: https://apcz.umk.pl/CJFA/article/view/CJFA.2015.013
• Data provider:
  Akademicka Platforma Czasopism
• Can I use it?:
  seek permission
• Type:
  text