TY  - JOUR
AU  - Magnus, Frimpong Joseph 
AU  - Fosu, Oteng-Abayie Eric 
PY  - 2006
TI  - Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange Using Garch Models 
JF  - American Journal of Applied Sciences
VL  - 3
IS  - 10
DO  - 10.3844/ajassp.2006.2042.2048
UR  - https://thescipub.com/abstract/ajassp.2006.2042.2048
AB  - This paper models and forecasts volatility (conditional variance) on the Ghana Stock Exchange using a random walk (RW), GARCH(1,1), EGARCH(1,1), and TGARCH(1,1) models. The unique ‘three days a week’ Databank Stock Index (DSI) was used to study the dynamics of the Ghana stock market volatility over a 10-year period. The competing volatility models were estimated and their specification and forecast performance compared with each other, using AIC and LL information criteria and BDS nonlinearity diagnostic checks. The DSI exhibits the stylized characteristics such as volatility clustering, leptokurtosis and asymmetry effects associated with stock market returns on more advanced stock markets. The random walk hypothesis is rejected for the DSI. Overall, the GARCH (1,1) model outperformed the other models under the assumption that the innovations follow a normal distribution.