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Forecasting the Jordanian stock index: modelling asymmetric volatility and distribution effects within a GARCH framework
Copernican Journal of Finance & Accounting
View Archive Info| Field | Value | |
| Title |
Forecasting the Jordanian stock index: modelling asymmetric volatility and distribution effects within a GARCH framework
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| Creator |
Al-Hajieh, Heitham; Department of Finance, King Abdulaziz University, Abdullah Sulayman, Jeddah 21589
AlNemer, Hashem; Department of Finance and Insurance, University of Jeddah Rodgers, Timothy; School of Economics, Finance and Accounting, Coventry University Niklewski, Jacek; School of Economics, Finance and Accounting, Coventry University |
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| Subject |
GARCH, asymmetry; distributions
C01; C58; G15 |
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| 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.
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| Publisher |
Uniwersytet Mikołaja Kopernika w Toruniu
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| Contributor |
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| Date |
2015-12-17
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.pl/czasopisma/index.php/CJFA/article/view/CJFA.2015.013
10.12775/CJFA.2015.013 |
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| Source |
Copernican Journal of Finance & Accounting; Vol 4, No 2 (2015); 9-25
Copernican Journal of Finance & Accounting; Vol 4, No 2 (2015); 9-25 2300-3065 2300-1240 |
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| Language |
eng
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| Relation |
http://apcz.pl/czasopisma/index.php/CJFA/article/view/CJFA.2015.013/7403
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| Coverage |
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| Rights |
Copyright (c) 2015 Copernican Journal of Finance & Accounting
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