Chapter 3

Modeling and Forecasting Stock Market Volatility in Frontier Markets: Evidence From Four European and Four African Frontier Markets

D.S. Kambouroudis    School of Management, University of Stirling, Stirling, Scotland, United Kingdom

Abstract

Modeling and forecasting stock market volatility have been the subject of a large number of studies in the finance literature, particularly after the stock market crash of 1987. The majority of the studies investigating the topic of stock market volatility concentrated on developed economies at first, and more recently emerging markets were considered. However, research on frontier markets is limited. The purpose of this chapter is to enter the ongoing debate on volatility forecasting by modeling ...

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