This study investigates the performance of five models for forecasting the Egyptian stock market return volatility. We used the period from 1 January, 1998 until 31 December, 2009 as an in-sample period. We used also the next 30 days after the in-sample period to be our out-of-sample period. The...

In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...

We used a recursive modeling approach to study whether investors could, in real time, have used information on the comovement of stock markets to forecast stock returns in European stock markets for high-technology firms. We used weekly data on returns in the Neuer Markt, the Nouveau Marché,...

This paper estimates and evaluates the forecasting performance of four alternative ARCH- type Models for predicting stock price index volatility using daily Egyptian data. The competing Models include GARCH, EGARCH, GJR and APAPCH used with four different distributions, Gaussian normal,...

We document using the ZEW panel of German stock market forecasters that weak forecasters tend to be overconfident in the sense that they provide extreme forecasts and their confidence intervals are less likely to contain eventual realizations. Moderate filters based on forecast accuracy over...