University of Khartoum

Forecasting Volatility in GCC Emerging Markets: The Predictive Power of Alternative Models

Forecasting Volatility in GCC Emerging Markets: The Predictive Power of Alternative Models

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Title: Forecasting Volatility in GCC Emerging Markets: The Predictive Power of Alternative Models
Author: Onour, Ibrahim A.
Abstract: In this paper forecast of conditional volatility in Saudi, Kuwait, and Abu-Dhabi markets is performed. To capture skewness and excess kurtosis that characterize asset returns in GCC markets, conditional volatility of asset returns estimated using skewed t-distribution, symmetric student t-distribution, and the Normal distribution specifications. Prediction performance results indicate the Normal and symmetric t-distribution models outperform the skewed t-distribution model.
URI: http://khartoumspace.uofk.edu/123456789/22039
Date: 2011


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