Predictability of Return Volatility Across Different Emerging Capital Markets: Evidence from Asia

Thushari N. Vidanage, Fabrizio Carmignani and Tarlok Singh

South Asian Journal of Macroeconomics and Public Finance, 2017, vol. 6, issue 2, 157-177

Abstract: The importance of return volatility forecasts in policy formation and investment decision-making in emerging countries is growing considerably. However, from an operational perspective, there is no consensus in the literature on which econometric model has the best forecasting performance. To shed new light on this issue, this article compares forecasting models for a selected group of emerging Asian economies: India, Malaysia, Pakistan, Sri Lanka, Singapore and Thailand. Model’s performance is tested using both in-sample and out-of-sample forecasting methods. It is found that a relatively simple asymmetric EGARCH model clearly outperforms other models. JEL Classification: G12, G17

Keywords: Emerging markets; GARCH models; stock returns; volatility forecasting; out-of-sample forecasting (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:sae:smppub:v:6:y:2017:i:2:p:157-177

DOI: 10.1177/2277978717727172

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