Modeling and Forecasting Egyptian Stock Market Volatility Before and After Price Limits

Eskandar Tooma
Additional contact information
Eskandar Tooma: The American University in Cairo

No 310, Working Papers from Economic Research Forum

Abstract: This paper investigates the impact of price limits on volatility dynamics in the Egyptian Stock Exchange. A variety of mean and variance specifications in GARCH type models (GARCH, EGARCH, GJR, and APARCH), and four different error distributions (Normal, Student-t, GED, and Skewed-t) are utilized. Results from examining a split sample suggest significant changes in the time varying volatility process. In-sample results, prior to the imposition of price limits exhibit leptokurtosis, yet showing no sign of the widely cited leverage effect. In-sample results, after the imposition of price limits display both leptokurtosis and the leverage effect. Out-of-sample forecasts depict the leverage effects, when present, but provide conflicting results regarding the distribution.

Pages: 34 pages
Date: 2003-03-04, Revised 2003-03-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published by The Economic Research Forum (ERF)

Downloads: (external link)
http://erf.org.eg/wp-content/uploads/2017/04/0310_final.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://erf.org.eg/wp-content/uploads/2017/04/0310_final.pdf [301 Moved Permanently]--> https://erf.org.eg/wp-content/uploads/2017/04/0310_final.pdf)
http://bit.ly/2pRQlh5 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:erg:wpaper:0310

Access Statistics for this paper

More papers in Working Papers from Economic Research Forum Contact information at EDIRC.
Bibliographic data for series maintained by Namees Nabeel ().