Alero Arubi - Academia.edu (original) (raw)
Related Authors
Biju Patnaik University and Technology, Rourkela, Odisha, INDIA
Uploads
Papers by Alero Arubi
Firstly, I would like I would like to express my deepest appreciation to the University of Nottin... more Firstly, I would like I would like to express my deepest appreciation to the University of Nottingham for three remarkable years. I appreciate the support I have received from the Nottingham University Business School over the past year. Secondly, I want to thank my mother, my brothers, Ayo, Suli and Mofe for their continuous support, encouragement and prayers. Thank you! And to my amazing friends thank you! This dissertation is dedicated to my later father, Dr. Jude Arubi. It is with your shining example I try to emulate in all I do.
Drafts by Alero Arubi
The aim and objective of this study is to model and forecast the stock index volatility of Shangh... more The aim and objective of this study is to model and forecast the stock index volatility of Shanghai and Shenzhen index. The volatility is estimated by employing three GARCH-type models standard GARCH, GJR-GARCH and the EGARCH. Their performance are compared based on three statistical errors, the mean absolute error, root mean squared and mean absolute percentage and then by the Mincer-Zarnowitz regression. The EGARCH outperforms its counterparts in all three statistical errors and by the regression based analysis. These empirical results are of important significance to portfolio management and risk management processes.
Firstly, I would like I would like to express my deepest appreciation to the University of Nottin... more Firstly, I would like I would like to express my deepest appreciation to the University of Nottingham for three remarkable years. I appreciate the support I have received from the Nottingham University Business School over the past year. Secondly, I want to thank my mother, my brothers, Ayo, Suli and Mofe for their continuous support, encouragement and prayers. Thank you! And to my amazing friends thank you! This dissertation is dedicated to my later father, Dr. Jude Arubi. It is with your shining example I try to emulate in all I do.
The aim and objective of this study is to model and forecast the stock index volatility of Shangh... more The aim and objective of this study is to model and forecast the stock index volatility of Shanghai and Shenzhen index. The volatility is estimated by employing three GARCH-type models standard GARCH, GJR-GARCH and the EGARCH. Their performance are compared based on three statistical errors, the mean absolute error, root mean squared and mean absolute percentage and then by the Mincer-Zarnowitz regression. The EGARCH outperforms its counterparts in all three statistical errors and by the regression based analysis. These empirical results are of important significance to portfolio management and risk management processes.