Babikir, Ali; Gupta, Rangan; Mwabutwa, Chance; … - Department of Economics, Faculty of Economic and … - 2010
This paper investigates the empirical relevance of structural breaks in forecasting stock return volatility using both …-samples defined by the structural breaks. This indicates that structural breaks are empirically relevant to stock return volatility in …, the MS-GARCH model better captures asymmetry in stock return volatility than the GJR-GARCH (1, 1) model, which better …