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Essays in Long Memory: Evidence From African Markets
Company: University of St. Andrews
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: May
Pages: 254
Download Count: 3
View Count: 1797
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 12-15-2010
Publisher: Administrator
This thesis explores various aspects of long memory behaviour in African stock markets (ASMs). First, we examine long memory in both equity returns and volatility using the weak-form version of the efficient market hypothesis (EMH) as a criterion. The results show that these markets (largely) display a predictable component in returns; while evidence of long memory in volatility is mixed. Next, we re-examine evidence of volatility persistence and long memory in light of the potential existence of neglected breaks in the stock return volatility data. A modification of the GARCH model to allow for mean variation is introduced, which, generates improved volatility forecasts for a selection of ASMs. We compare the performance of a number of long memory models against a variety of alternatives. The results generally suggest that over short horizons simple statistical models and the short memory GARCH models provide superior forecasts of volatility; while, at longer horizons, we find some evidence in favour of long memory models. Finally, a wide range of volatility forecasting models are evaluated in order to ascertain which method delive
Thupayagale, Pako Sign in to follow this author
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