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1-4 of 4
Keywords: GARCH
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Journal Articles
The Egyptian stock market's reaction to the COVID-19 pandemic
Available to Purchase
African Journal of Economic and Management Studies (2022) 13 (2): 251–267.
Published: 29 April 2022
... autoregressive conditional heteroskedasticity (GARCH) model to examine the impact of COVID-19 on two basic stock market indices (EGX30 and EGX100). In addition, the heteroskedasticity corrected model (HCM) was employed to differentiate between the effects of each subsequent wave of the pandemic. Findings...
Journal Articles
Overconfidence bias and stock market volatility in Ghana: testing the rationality of investors in the Covid-19 era
Available to Purchase
African Journal of Economic and Management Studies (2022) 13 (1): 147–161.
Published: 21 December 2021
... the presence of overconfidence bias on the Ghana stock market as well as GARCH (1,1) and GJR-GARCH (1, 1) models to understand whether overconfidence bias contributed to volatility during pre-Covid-19 pandemic and Covid-19 pandemic period. The pre-Covid-19 pandemic period spans from January, 2019 to December...
Journal Articles
Time series modelling, NARX neural network and hybrid KPCA–SVR approach to forecast the foreign exchange market in Mauritius
Available to Purchase
African Journal of Economic and Management Studies (2021) 12 (1): 18–54.
Published: 20 November 2020
... conditional heteroskedasticity (GARCH) models are used as a basis for time series modelling for the analysis, along with the non-linear autoregressive network with exogenous inputs (NARX) neural network backpropagation algorithm utilizing different training functions, namely, Levenberg–Marquardt (LM...
Includes: Supplementary data
Journal Articles
The day-of-the-week effect: South African stock market indices
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African Journal of Economic and Management Studies (2018) 9 (2): 197–212.
Published: 11 June 2018
... on the Johannesburg Stock Exchange (JSE) indices for the period March 1995-2016, using a GARCH model. Findings The findings show that, contrary to the original study, the day-of-the week effect is present in both volatility and return equations. The highest and lowest returns are observed on Monday and Friday...
