Estimating and forecasting west Africa stock market volatility using asymmetric Garch models
Estimating and forecasting west Africa stock market volatility using asymmetric Garch models
Known as one of the key risk measures, volatility has attracted the interest of many researchers. These aim, in particular, to estimate and explain its evolution over time. Several results reveal that volatility is characterized, among other things, by its asymmetric variations (Chordia and Goyal 2006, Mele 2007, Shamila et al 2009, etc.). In this article, we seek to analyze and predict the volatility of the BRVM through these two indices. The data used are daily and start from the period from 0