American Journal of Applied Sciences

Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using Garch Models

Frimpong J. Magnus and Oteng-Abayie E. Fosu

DOI : 10.3844/ajassp.2006.2042.2048

American Journal of Applied Sciences

Volume 3, Issue 10

Pages 2042-2048

Abstract

This paper models and forecasts volatility (conditional variance) on the Ghana StockExchange using a random walk (RW), GARCH(1,1), EGARCH(1,1), and TGARCH(1,1) models. Theunique

Copyright

© 2006 Frimpong J. Magnus and Oteng-Abayie E. Fosu. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.