Modelling stock return volatility: comparative evidence from selected emerging African and Western developed markets

William Coffie and Osita Chukwulobelu

International Journal of Management Practice, 2014, vol. 7, issue 4, 366-379

Abstract: This paper investigates volatility persistence by comparing evidence from selected emerging African and Western developed markets, taking into account the rate of volatility decay. Generalised Autoregressive Conditional Heteroscedasticity (GARCH) and GARCH-in-mean (GARCH-M) models are used to estimate volatility persistence and risk premium for these markets. The results presented here suggest that there is volatility persistence in the four emerging African markets and the five developed markets. The study concludes that volatility risk exists in these markets and investors would require compensation for bearing this type of risk.

Keywords: Africa; stock markets; developed markets; developing markets; emerging markets; stock returns; return volatility; GARCH-M; volatility decay; volatility persistence; risk premiums. (search for similar items in EconPapers)
Date: 2014
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