An Analysis of the Performance of Volatility Models of the Egyptian Stock Market Index- EGX 100 | ||
| The Egyptian Statistical Journal | ||
| Article 2, Volume 59, Issue 2, December 2015, Pages 145-162 PDF (23.3 M) | ||
| Document Type: Original Article | ||
| DOI: 10.21608/esju.2015.314463 | ||
| Author | ||
| Rania Ahmed Hamed Mohamed | ||
| port said university | ||
| Abstract | ||
| The paper aims to compare the symmetric and asymmetric volatility models for EGX100 index with contributions of different error distribution during both stability and instability of the country before and after the revolution of 25th of January 2011.The results reveal that the asymmetric models with Student's-t distribution fit better than symmetric model in modeling the volatility of EGX100 index. These findings indicate evidence of leverage effects on the index. Moreover, the volatility persistence significantly decreased when student-t distribution and GDE density are considered especially after the revolution. Thus, the contributions of error distributions play an important role in the reduction of volatility persistence. In addition, that the bad news has more impact on volatility than good ones. | ||
| Keywords | ||
| ARCH; GARCH; EGARCH - GJR-GARCH - Leverage Effect | ||
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