years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the next four …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …

This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset … predictive performance relative to the standard volatility models. Furthermore, we construct volatility timing portfolios and …

stock price index volatility using daily Egyptian data. The competing Models include GARCH, EGARCH, GJR and APAPCH used with …-tailed asymmetric densities are taken into account in the conditional volatility, is better than symmetric GARCH. Moreover, it is found …-t density is more appropriate for modeling the Egyptian stock market index volatility …