model to allow for time variation in the unconditional variance generates improved volatility forecasting performance for …Purpose – The purpose of this paper is to estimate volatility in African stock markets (ASMs), taking account of … periodic level shifts in the mean level of volatility, where the regime shifts are determined endogenously. Design …

African stock market. This leaves much to be desired, given that the financial market in Africa is arguably one of the most … financial markets across the globe, the increased capital flow, coupled with declining information asymmetry in Africa, has … of financial markets in Africa to spillover of shocks from other sectors and jurisdictions. Additionally, while previous …

The main problem in pricing variance, volatility, and correlation swaps is how to determine the evolution of the … by so-called pseudo-statistics, namely, the pseudo-variance, -covariance, -volatility, and -correlation. The main … paper, we will demonstrate how to value different types of swaps (variance, volatility, covariance, and correlation swaps …

, Ghana, Kenya, Madagascar, Mali, Mauritius, Morocco, Nigeria, Rwanda, Sierra Leone, South Africa, Tanzania, Uganda, and … Zambia. In particular, the paper applies the nonparametric variance-ratio tests proposed by Wright (2000). The two important …