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dc.contributor.authorVidanage, TN
dc.contributor.authorCarmignani, F
dc.contributor.authorSingh, T
dc.date.accessioned2017-11-09T22:39:43Z
dc.date.available2017-11-09T22:39:43Z
dc.date.issued2017
dc.identifier.issn2277-9787
dc.identifier.doi10.1177/2277978717727172
dc.identifier.urihttp://hdl.handle.net/10072/352469
dc.description.abstractThe importance of return volatility forecasts in policy formation and investment decision-making in emerging countries is growing considerably. However, from an operational perspective, there is no consensus in the literature on which econometric model has the best forecasting performance. To shed new light on this issue, this article compares forecasting models for a selected group of emerging Asian economies: India, Malaysia, Pakistan, Sri Lanka, Singapore and Thailand. Model’s performance is tested using both in-sample and out-of-sample forecasting methods. It is found that a relatively simple asymmetric EGARCH model clearly outperforms other models.
dc.description.peerreviewedYes
dc.languageEnglish
dc.language.isoeng
dc.publisherSage Publications
dc.relation.ispartofpagefrom1
dc.relation.ispartofpageto21
dc.relation.ispartofjournalSouth Asian Journal of Macroeconomics and Public Finance
dc.subject.fieldofresearchMacroeconomics (incl. Monetary and Fiscal Theory)
dc.subject.fieldofresearchEconomic Theory
dc.subject.fieldofresearchOther Economics
dc.subject.fieldofresearchcode140212
dc.subject.fieldofresearchcode1401
dc.subject.fieldofresearchcode1499
dc.titlePredictability of Return Volatility across Different Emerging Capital Markets: Evidence from Asia
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.facultyGriffith Business School, Department of Accounting, Finance and Economics
gro.description.notepublicThis publication has been entered into Griffith Research Online as an Advanced Online Version.
gro.hasfulltextNo Full Text
gro.griffith.authorSingh, Tarlok
gro.griffith.authorCarmignani, Fabrizio
gro.griffith.authorVidanage, Thushari N.


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