In this paper, volatility of stock returns in Ghana is modeled from July 4, 2011 to October 3, 2014 using both symmetric and asymmetric univariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models under the normal Gaussian distribution assumption. Results show that equity...

This paper examines for the first time contagion to African stock markets with particular attention to the quantification of, and testing for the impact of (extreme) downside movements in foreign exchange and developed stock markets on the (extreme) downside risks in Africa stock markets. Using...