Forecasting volatility in Gulf Cooperation Council emerging markets: the predictive power of alternative models

Ibrahim A. Onour

Afro-Asian Journal of Finance and Accounting, 2008, vol. 1, issue 2, pages 129-139

Abstract: In this paper, a forecast of conditional volatility in Saudi, Kuwait and Abu-Dhabi markets is performed. To capture the skewness and excess kurtosis that characterise asset returns in Gulf Cooperation Council markets, the conditional volatility of asset returns was estimated using skewed t-distribution, symmetric student t-distribution and the Normal distribution specifications. Prediction performance results indicate that the normal and symmetric t-distribution models outperform the skewed t-distribution model.

Keywords: forecasting volatility; Gulf Cooperation Council; GCC markets; emerging markets; skewness; Saudi Arabia; Kuwait; Abu Dhabi; asset returns; kurtosis; alternative models (search for similar items in EconPapers)
Date: 2008
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