Forecasting Stock Return Volatility: Evidence from the West African Regional Stock Market

N’dri Konan Léon

Journal of Applied Finance & Banking, 2015, vol. 5, issue 6, 2

Abstract: This paper compares the out-of-sample forecasting performance of the GARCH, EGARCH, and GJR-GARCH models across the Normal distribution, Student-t distribution, and Generalized Error Distribution (GED) in the regional stock market of the West African Economic and Monetary Union called the BRVM. The study uses weekly returns ranging from 4 January 1999 to 10 March 2005 for in-sample estimation of conditional variance models, and the period from 11 March 2005 to 29 July 2005 for out-of-sample forecasting. Using the RMSE and MAE as measures of forecasting accuracy, I find that the EGARCH model outperforms both the GARCH and the GJR-GARCH models under the Student-t distribution and the GED.

Date: 2015
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