| ชื่อเรื่อง | : | Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets |
| นักวิจัย | : | Ismail, Mohd Tahir , Audu, Buba , Tumala, Mohammed Musa |
| คำค้น | : | QA1-939 Mathematics |
| หน่วยงาน | : | Universiti Sains Malaysia, Malaysia |
| ผู้ร่วมงาน | : | - |
| ปีพิมพ์ | : | 2559 |
| อ้างอิง | : | http://eprints.usm.my/37283/1/(Volatility_forecasting_with_the_wavelet)_1%2Ds2.0%2DS240591881630006X%2Dmain.pdf , Ismail, Mohd Tahir and Audu, Buba and Tumala, Mohammed Musa (2016) Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets. Journal of Finance and Data Science, 2 (2). pp. 125-135. ISSN 2405-9188 |
| ที่มา | : | - |
| ความเชี่ยวชาญ | : | - |
| ความสัมพันธ์ | : | https://doi.org/10.1016/j.jfds.2016.09.002 , http://eprints.usm.my/37283/ |
| ขอบเขตของเนื้อหา | : | - |
| บทคัดย่อ/คำอธิบาย | : | The daily returns of four African countries' stock market indices for the period January 2, 2000, to December 31, 2014, were employed to compare the GARCH(1,1) model and a newly proposed Maximal Overlap Discreet Wavelet Transform (MODWT)- GARCH(1,1) model. The results showed that although both models fit the returns data well, the forecast produced by the GARCH(1,1) model underestimates the observed returns whereas the newly proposed MODWT-GARCH(1,1) model generates an accurate forecast value of the observed returns. The results generally showed that the newly proposed MODWT-GARCH(1,1) model best fits returns series for these African countries. Hence the proposed MODWT-GARCH should be applied on other context to further verify its validity. |
| บรรณานุกรม | : |
Ismail, Mohd Tahir , Audu, Buba , Tumala, Mohammed Musa . (2559). Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets.
กรุงเทพมหานคร : Universiti Sains Malaysia, Malaysia. Ismail, Mohd Tahir , Audu, Buba , Tumala, Mohammed Musa . 2559. "Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets".
กรุงเทพมหานคร : Universiti Sains Malaysia, Malaysia. Ismail, Mohd Tahir , Audu, Buba , Tumala, Mohammed Musa . "Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets."
กรุงเทพมหานคร : Universiti Sains Malaysia, Malaysia, 2559. Print. Ismail, Mohd Tahir , Audu, Buba , Tumala, Mohammed Musa . Volatility forecasting with the wavelet transformation algorithm GARCH model: Evidence from African stock markets. กรุงเทพมหานคร : Universiti Sains Malaysia, Malaysia; 2559.
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